OPTION PRICING ON RENEWABLE COMMODITY MARKETS

Sergio H. Lence and Dermot Hayes

No 18457, Hebrew University of Jerusalem Archive from Hebrew University of Jerusalem

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.

Keywords: Marketing (search for similar items in EconPapers)
Pages: 19
Date: 2002
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https://ageconsearch.umn.edu/record/18457/files/wp020309.pdf (application/pdf)

Related works:
Working Paper: Option Pricing on Renewable Commodity Markets (2010)
Working Paper: OPTION PRICING ON RENEWABLE COMMODITY MARKETS (2002)
Working Paper: Option Pricing on Renewable Commodity Markets (2002)
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Persistent link: https://EconPapers.repec.org/RePEc:ags:hebarc:18457

DOI: 10.22004/ag.econ.18457

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