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Pricing options on agricultural futures: An application of the constant elasticity of variance option pricing model

โœ Scribed by Jin W. Choi; Francis A. Longstaff

Publisher
John Wiley and Sons
Year
1985
Tongue
English
Weight
570 KB
Volume
5
Category
Article
ISSN
0270-7314

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๐Ÿ“œ SIMILAR VOLUMES

A note on agricultural options and the v
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โœ Nikolaos T. Milonas ๐Ÿ“‚ Article ๐Ÿ“… 1986 ๐Ÿ› John Wiley and Sons ๐ŸŒ English โš– 351 KB ๐Ÿ‘ 2 views

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

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## Abstract Much of the work on real options assumes that the underlying state variable follows a geometric Brownian motion with constant volatility. This paper uses a more general assumption for the state variable process that better captures the empirical regularities found in commodity markets.

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Pricing and the Effect of an ## Anticipated Price Change Avner Wolf is article commodity examines theoretical aspects of Black's (1976) pricing formula of r options and the effect on the option's premium of an anticipated future drift in the futures price. In the first part, we derive the formula

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ecent theoretical research has developed two valuation models for pricing R options on futures contracts-a European version, and a more complex American variant. The purpose of this article is to compare the pricing behavior of the two models and develop some implications for the use of European mod