EconPapers    
Economics at your fingertips  
 

WANTED: NO ARBITRAGE, DEAD OR ALIVE: A COMPARISON OF HEDGING WITH FUTURES CONTRACTS OR RESOURCE RESERVES FOR ARBITRAGE-FREE RESOURCE HARVEST CONTRACT VALUATION

Ellen Burnes

No 21872, 2000 Annual meeting, July 30-August 2, Tampa, FL from American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association)

Abstract: We develop a valuation model based on conservation rules, and stochastic prices and inventories. Dynamic programming determines the optimal harvest amount. A hedge portfolio based on a resource reserve is proposed. The optimal size of the reserve is determined, as well as its value.

Keywords: Financial Economics; Marketing (search for similar items in EconPapers)
Date: 2000
References: View references in EconPapers View complete reference list from CitEc
Citations: Track citations by RSS feed

Downloads: (external link)
http://ageconsearch.umn.edu/record/21872/files/sp00bu02.pdf (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:ags:aaea00:21872

DOI: 10.22004/ag.econ.21872

Access Statistics for this paper

More papers in 2000 Annual meeting, July 30-August 2, Tampa, FL from American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association) Contact information at EDIRC.
Bibliographic data for series maintained by AgEcon Search ().

 
Page updated 2019-10-12
Handle: RePEc:ags:aaea00:21872