WANTED: NO ARBITRAGE, DEAD OR ALIVE: A COMPARISON OF HEDGING WITH FUTURES CONTRACTS OR RESOURCE RESERVES FOR ARBITRAGE-FREE RESOURCE HARVEST CONTRACT VALUATION

We develop a valuation model based on conservation rules, and stochastic prices and inventories. Dynamic programming determines the optimal harvest amount. A hedge portfolio based on a resource reserve is proposed. The optimal size of the reserve is determined, as well as its value.


Issue Date:
2000
Publication Type:
Conference Paper/ Presentation
PURL Identifier:
http://purl.umn.edu/21872
Total Pages:
19
Series Statement:
Selected Paper




 Record created 2017-04-01, last modified 2017-08-24

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