Valuing American Options on Commodity Futures Contracts

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dc.creatorPlato, Gerald
dc.date2017-04-01T13:47:13Z
dc.date.accessioned2026-07-09T07:06:25Z
dc.descriptionThe 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
dc.identifierdoi:10.22004/ag.econ.149152
dc.identifierhttps://ageconsearch.umn.edu/record/149152/files/2Plato_37_2.pdf
dc.identifierhttp://ageconsearch.umn.edu/record/149152
dc.identifier.urihttp://hdl.handle.net/123456789/584575
dc.languageeng
dc.publisher
dc.sourcehttp://ageconsearch.umn.edu/record/149152
dc.titleValuing American Options on Commodity Futures Contracts
dc.typeText

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