WANTED: NO ARBITRAGE, DEAD OR ALIVE: A COMPARISON OF HEDGING WITH FUTURES CONTRACTS OR RESOURCE RESERVES FOR ARBITRAGE-FREE RESOURCE HARVEST CONTRACT VALUATION
No 21872, 2000 Annual meeting, July 30-August 2, Tampa, FL from American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association)
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)
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Persistent link: https://EconPapers.repec.org/RePEc:ags:aaea00:21872
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