he recent introduction of options on agricultural futures has fueled a growing T research interest on issues ranging from risk-return characteristics of option hedging strategies to the valuation of commodity options. Valuation models for options on common stocks have been extensively used ever sinc
A Note on the Variability of Futures Prices
โ Scribed by D. J. S. Rutledge
- Book ID
- 125759825
- Publisher
- MIT Press
- Year
- 1976
- Tongue
- English
- Weight
- 178 KB
- Volume
- 58
- Category
- Article
- ISSN
- 0034-6535
- DOI
- 10.2307/1936017
No coin nor oath required. For personal study only.
๐ SIMILAR VOLUMES
We acknowledge Mark Castelino, Paul Koch, Mark Powers, and two anonymous referees for helpful comments and constructive suggestions on an earlier version. Of course, we are responsible for any remaining errors. 'More specifically, a broad-based contract is any contract that allows the delivery of m
## Abstract Here we consider the hedging roles of a price futures contract versus a revenue futures contract. In the absence of idiosyncratic output risk, the revenue contract almost always dominates the price contract. Idiosyncratic output risk provides conditions under which the price contract sh
## DO FUTURES PRICES ALWAYS REFLECT THE CHEAPEST DELIVERABLE GRADE OF THE COMMODITY? his note concerns the price behavior of multi-grade futures contracts. the cash price of the least expensive quality of the commodity deliverable on the futures contract, allowing for any quality differentials sp