OPTION PRICING ON RENEWABLE COMMODITY MARKETS

Sergio Lence and Dermot Hayes

No 19053, 2002 Conference, April 22-23, 2002, St. Louis, Missouri from NCR-134 Conference on Applied Commodity Price Analysis, Forecasting, and Market Risk Management

Abstract: Practitioners 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: 14
Date: 2002
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https://ageconsearch.umn.edu/record/19053/files/cp02le01.pdf (application/pdf)

Related works:
Working Paper: Option Pricing on Renewable Commodity Markets (2010)
Working Paper: Option Pricing on Renewable Commodity Markets (2002)
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Persistent link: https://EconPapers.repec.org/RePEc:ags:ncrtwo:19053

DOI: 10.22004/ag.econ.19053

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