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Option Pricing On Renewable Commodity Markets

Author

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  • Lence, Sergio H.
  • Hayes, Dermot J.

Abstract

The paper motivates and proposes a closed-form option-pricing model for markets such as grains or livestock where the price level can be expected to revert to expected production costs. The model suggests that traditional option pricing models will overprice long-term options on these markets.

Suggested Citation

Handle: RePEc:ags:hebarc:18457
DOI: 10.22004/ag.econ.18457
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