Valuing American Options on Commodity Futures Contracts

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

MoreLess

Year of publication:	1985
Authors:	Plato, Gerald
Published in:	Agricultural Economics Research. - Economic Research Service. - 1985, 2
Publisher:	Economic Research Service
Subject:	Commodity options \| futures contracts \| hedging \| Agricultural and Food Policy \| Productivity Analysis \| Public Economics

freely available

Full text |

More access options

Check Google Scholar

In German libraries (KVK)

I need help

More details

Extent:	application/pdf
Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10010919424