Skip to main content
profile image
Selected Works of Dermot J. Hayes
Other
Option Pricing on Renewable Commodity Markets
CARD Working Papers
  • Sergio H. Lence, Iowa State University
  • Dermot J. Hayes, Iowa State University
Download
Publication Date
7-1-2002
Series Number
02-WP 309
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.
Disciplines
Citation Information
Sergio H. Lence and Dermot J. Hayes. "Option Pricing on Renewable Commodity Markets" (2002)
Available at: http://works.bepress.com/dermot_hayes/44/