Valuing American Options on Commodity Futures Contracts

Author

Gerald Plato

Agricultural Economics Research, 1985, issue 2

Abstract: The author modified a numerical procedure developed by Cox, Ross, and Rubinstein for valuing options on stocks to value options on commodity futures contracts The numerical procedure, unlike Black's widely used analytical approach, can include the value of early exercise in the option-premium estimates Analysis with the numerical procedure shows that the variability in the underlying futures price is crucial in determining the value of an option

Keywords: Commodity options; futures contracts; hedging; Agricultural and Food Policy; Productivity Analysis; Public Economics (search for similar items in EconPapers)
Date: 1985
References: View references in EconPapers View complete reference list from CitEc
Citations View citations in EconPapers (1) Track citations by RSS feed

Downloads: (external link)
http://purl.umn.edu/149152 (application/pdf)

Related works:
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: http://EconPapers.repec.org/RePEc:ags:ueraer:149152

Access Statistics for this article

More articles in Agricultural Economics Research from  United States Department of Agriculture, Economic Research Service Contact information at EDIRC.
Series data maintained by AgEcon Search (aesearch@umn.edu).

For further details log on website :
http://econpapers.repec.org/article/agsueraer/149152.htm