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


Issue Date:
1985
Publication Type:
Journal Article
DOI and Other Identifiers:
Record Identifier:
https://ageconsearch.umn.edu/record/149152
PURL Identifier:
http://purl.umn.edu/149152
Published in:
Agricultural Economics Research, 37, 2
Page range:
1-14
Total Pages:
14




 Record created 2017-04-01, last modified 2020-10-28

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