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Pricing Long-Term Options on Markets with Mean Reversion


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


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Suggested Citation

  • Lence, Sergio H. & Hayes, Dermot J., 2002. "Pricing Long-Term Options on Markets with Mean Reversion," Staff General Research Papers Archive 10063, Iowa State University, Department of Economics.
  • Handle: RePEc:isu:genres:10063

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    References listed on IDEAS

    1. Jerry A. Hausman, 1996. "Valuation of New Goods under Perfect and Imperfect Competition," NBER Chapters,in: The Economics of New Goods, pages 207-248 National Bureau of Economic Research, Inc.
    2. Timothy F. Bresnahan & Robert J. Gordon, 1996. "The Economics of New Goods," NBER Books, National Bureau of Economic Research, Inc, number bres96-1, January.
    3. Huffman, Wallace E. & Shogren, Jason F. & Rousu, Matthew & Tegene, Abe, 2001. "The Value of Consumers of Genetically Modified Food Labels in a Market with Diverse Information: Evidence from Experimental Auctions," ISU General Staff Papers 200112010800001346, Iowa State University, Department of Economics.
    4. Huffman, Wallace E. & Tegene, Abebayehu, 2002. "Public Acceptance of and Benefits from Agricultural Biotechnology: A Key Role for Verifiable Information," Staff General Research Papers Archive 10430, Iowa State University, Department of Economics.
    5. Kinsey, Jean D. & Wolfson, Paul J. & Katsaras, Nikolaos & Senauer, Benjamin, 2001. "Data Mining: A Segmentation Analysis Of U.S. Grocery Shoppers," Working Papers 14335, University of Minnesota, The Food Industry Center.
    6. Schultz, Theodore W, 1975. "The Value of the Ability to Deal with Disequilibria," Journal of Economic Literature, American Economic Association, vol. 13(3), pages 827-846, September.
    7. Wallace E. Huffman, 1977. "Allocative Efficiency: The Role of Human Capital," The Quarterly Journal of Economics, Oxford University Press, vol. 91(1), pages 59-79.
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