000060955 001__ 60955
000060955 005__ 20180122212647.0
000060955 037__ $$a320-2016-10158
000060955 041__ $$aen
000060955 245__ $$aOption Pricing on Renewable Commodity Markets
000060955 260__ $$c2010
000060955 269__ $$a2010
000060955 270__ $$mjinnaisu@iastate.edu$$pJin,   Na
000060955 270__ $$mshlence@iastate.edu$$pLence,   Sergio
000060955 270__ $$mchart@iastate.edu$$pHart,   Chad
000060955 270__ $$mdhayes@iastate.edu$$pHayes,   Dermot
000060955 300__ $$a1
000060955 336__ $$aConference Paper/ Presentation
000060955 490__ $$aPoster
000060955 490__ $$a10618
000060955 520__ $$aOptions markets on agricultural commodities with maturities that exceed 13 months
seldom trade. Our hypothesis is that this market failure is due to the absence of an
accurate option pricing model for commodities where mean reversion can be expected.
Standard option pricing models assume proportionality between price variance and time
to maturity. This proportionality is not a valid assumption for commodities where supply
response works to bring prices back to production costs. The model suggests that 
traditional option pricing models will overprice long-term options on these markets.
000060955 542__ $$fLicense granted by Na Jin (jinnaisu@gmail.com) on 2010-04-27T21:00:28Z (GMT):

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000060955 650__ $$aAgricultural Finance
000060955 650__ $$aFinancial Economics
000060955 6531_ $$acommodity futures and option
000060955 6531_ $$aprice mean reverting
000060955 6531_ $$aseasonality
000060955 700__ $$aJin, Na
000060955 700__ $$aLence, Sergio H.
000060955 700__ $$aHart, Chad E.
000060955 700__ $$aHayes, Dermot J.
000060955 8564_ $$s264749$$uhttp://ageconsearch.umn.edu/record/60955/files/10618.pdf
000060955 887__ $$ahttp://purl.umn.edu/60955
000060955 909CO $$ooai:ageconsearch.umn.edu:60955$$pGLOBAL_SET
000060955 912__ $$nSubmitted by Na Jin (jinnaisu@gmail.com) on 2010-04-27T21:22:56Z
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000060955 912__ $$nMade available in DSpace on 2010-04-27T21:22:57Z (GMT). No. of bitstreams: 2
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  Previous issue date: 2010
000060955 982__ $$gAgricultural and Applied Economics Association>2010 Annual Meeting, July 25-27, 2010, Denver, Colorado
000060955 980__ $$a320