Option Pricing on Renewable Commodity MarketsCARD Working Papers
Series Number02-WP 309
AbstractThe 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 InformationSergio H. Lence and Dermot J. Hayes. "Option Pricing on Renewable Commodity Markets" (2002)
Available at: http://works.bepress.com/dermot_hayes/44/