Options on Commodity Forward Contracts

Edward O. Thorp
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Edward O. Thorp: Oakley Sutton Management Corp., 3 Civic Plaza, Suite 100, Newport Beach, California 92660

Management Science, 1985, vol. 31, issue 10, 1232-1236

Abstract: We develop formulas for "European" options on commodity forward contracts. The assumptions and derivations are simple. The qualitative behavior of the formulas is developed for an intuitive overview. The put formula and related ideas were applied to successfully manage a quarter billion dollar hedge of GNMA futures versus standbys.

Keywords: options; forward contracts; commodities (search for similar items in EconPapers)
Date: 1985
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Persistent link: https://EconPapers.repec.org/RePEc:inm:ormnsc:v:31:y:1985:i:10:p:1232-1236

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