Option Pricing On Renewable Commodity Markets
Practitioners 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.
|Date of creation:||2002|
|Contact details of provider:|| Web page: http://www.agebb.missouri.edu/ncrext/ncr134/|
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- Bryan R. Routledge & Duane J. Seppi & Chester S. Spatt, 2000.
"Equilibrium Forward Curves for Commodities,"
Journal of Finance,
American Finance Association, vol. 55(3), pages 1297-1338, June.
- Bryan Routledge & Duane Seppi & Chester Spatt, "undated". "Equilibrium Forward Curves for Commodities," GSIA Working Papers 1997-50, Carnegie Mellon University, Tepper School of Business.
- Bryan Routledge & Duane Seppi & Chester Spatt, "undated". "Equilibrium Forward Curves for Commodities," GSIA Working Papers 1997-49, Carnegie Mellon University, Tepper School of Business.
- Bessembinder, Hendrik, et al, 1995. " Mean Reversion in Equilibrium Asset Prices: Evidence from the Futures Term Structure," Journal of Finance, American Finance Association, vol. 50(1), pages 361-375, March. Full references (including those not matched with items on IDEAS)
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