In this article, futures and commodity options are analyzed in the context of Merton's (1987) model of capital market equilibrium with incomplete information. First, following Dusak (1973) and Black (1976), the conditions under which Merton's model can be applied to the valuation of forward and futu
β¦ LIBER β¦
Seasonality and the valuation of commodity options
β Scribed by Janis Back; Marcel Prokopczuk; Markus Rudolf
- Book ID
- 118470676
- Publisher
- Elsevier Science
- Year
- 2013
- Tongue
- English
- Weight
- 557 KB
- Volume
- 37
- Category
- Article
- ISSN
- 0378-4266
No coin nor oath required. For personal study only.
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Fundamentals of Commodity Options on Futures Avner Wolf cademic research in commodity options is not as extensive as research on A stock options, partly because commodity exchange options are not traded in the US. Moreover, even research on London options which have traded for some time is far from