Pricing Options on Commodity Futures: The Role of Weather and Storage
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More about this item
Keywords
arbitrage pricing model; options on futures; generalized lambda distribution; theory of storage; skewness;All these keywords.
JEL classification:
- 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 fields
This paper has been announced in the following NEP Reports:- NEP-AGR-2011-01-23 (Agricultural Economics)
- NEP-CFN-2011-01-23 (Corporate Finance)
- NEP-RMG-2011-01-23 (Risk Management)
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