Option Pricing on Renewable Commodity Markets

Sergio Lence and Dermot Hayes

Center for Agricultural and Rural Development (CARD) Publications from Center for Agricultural and Rural Development (CARD) at Iowa State University

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: mean reversion; option pricing; renewable commodity markets. (search for similar items in EconPapers)
Date: 2002-07
References: Add references at CitEc
Citations:

Downloads: (external link)
https://www.card.iastate.edu/products/publications/pdf/02wp309.pdf Full Text (application/pdf)
https://www.card.iastate.edu/products/publications/synopsis/?p=376 Online Synopsis (text/html)

Related works:
Working Paper: Option Pricing on Renewable Commodity Markets (2010)
Working Paper: OPTION PRICING ON RENEWABLE COMMODITY MARKETS (2002)
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:ias:cpaper:02-wp309

Access Statistics for this paper

More papers in Center for Agricultural and Rural Development (CARD) Publications from Center for Agricultural and Rural Development (CARD) at Iowa State University Contact information at EDIRC.
Bibliographic data for series maintained by ().