Option Pricing on Renewable Commodity Markets

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dc.contributor.author Hayes, Dermot
dc.contributor.author Lence, Sergio
dc.contributor.department Center for Agricultural and Rural Development
dc.date 2018-02-16T13:21:28.000
dc.date.accessioned 2020-06-30T01:03:56Z
dc.date.available 2020-06-30T01:03:56Z
dc.date.embargo 2015-06-15
dc.date.issued 2002-07-01
dc.description.abstract <p>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.</p>
dc.identifier archive/lib.dr.iastate.edu/card_workingpapers/322/
dc.identifier.articleid 1330
dc.identifier.contextkey 7219395
dc.identifier.s3bucket isulib-bepress-aws-west
dc.identifier.submissionpath card_workingpapers/322
dc.identifier.uri https://dr.lib.iastate.edu/handle/20.500.12876/12657
dc.source.bitstream archive/lib.dr.iastate.edu/card_workingpapers/322/02wp309.pdf|||Fri Jan 14 23:35:18 UTC 2022
dc.subject.disciplines Agricultural and Resource Economics
dc.subject.disciplines Agricultural Economics
dc.subject.disciplines Industrial Organization
dc.subject.keywords mean reversion
dc.subject.keywords option pricing
dc.subject.keywords renewable commodity markets
dc.title Option Pricing on Renewable Commodity Markets
dc.type article
dc.type.genre article
dspace.entity.type Publication
relation.isAuthorOfPublication 5150ce51-74b1-46ee-b100-34d2536463bb
relation.isAuthorOfPublication 3c26c85e-921b-4cd2-b2e9-e0ea81c43adb
relation.isOrgUnitOfPublication 1a6be5f1-4f64-4e48-bb66-03bbcc25c76d
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