Arbitrage pricing cannot be applied to commodity futures because the physicalcommodity does not represent a pure asset: Since consumption and processing of thecommodity can drive down inventories to zero, it is not always possible to construct areplicating portfolio for the futures contract, and...

This paper originates in an email sent by the second author wondering whether the first author knewabout Bronzin’s booklet on option pricing, dating back almost a century and containing formulas whichappear rather similar to those developed by Black-Scholes. The scepticism of the first author...