Pricing Options on Commodity Futures: The Role of Weather and Storage
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References listed on IDEAS
- Dubravka Jurlina Alibegovic & Zeljka Kordej De Villa, 2006. "The Challenge of Building Proper Urban Indicator System: A Proposal for Croatian Cities," ERSA conference papers ersa06p354, European Regional Science Association.
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Keywordsarbitrage pricing model; options on futures; generalized lambda distribution; theory of storage; skewness;
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
- Q11 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Agriculture - - - Aggregate Supply and Demand Analysis; Prices
- Q14 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Agriculture - - - Agricultural Finance
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-AGR-2011-01-23 (Agricultural Economics)
- NEP-ALL-2011-01-23 (All new papers)
- NEP-CFN-2011-01-23 (Corporate Finance)
- NEP-RMG-2011-01-23 (Risk Management)
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