Valuing American Options on Commodity Futures Contracts

Gerald Plato

Journal of Agricultural Economics Research, 1985, vol. 37, issue 02, 14

Abstract: The author modified a numerical procedure developed by Cox, Ross, and Rubinstein for valuing options on stocks to value options on commodity futures contracts The numerical procedure, unlike Black's widely used analytical approach, can include the value of early exercise in the option-premium estimates Analysis with the numerical procedure shows that the variability in the underlying futures price is crucial in determining the value of an option

Keywords: Agricultural and Food Policy; Productivity Analysis; Public Economics (search for similar items in EconPapers)
Date: 1985
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Persistent link: https://EconPapers.repec.org/RePEc:ags:uersja:149152

DOI: 10.22004/ag.econ.149152

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