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Option Pricing on Renewable Commodity Markets
CARD Working Papers
  • Sergio H. Lence, Iowa State University
  • Dermot J. Hayes, Iowa State University
Publication Date
Series Number
02-WP 309
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.
Citation Information
Sergio H. Lence and Dermot J. Hayes. "Option Pricing on Renewable Commodity Markets" (2002)
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