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

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dc.creatorBurnes, Ellen
dc.date2017-04-01T19:17:39Z
dc.date.accessioned2026-07-09T03:37:16Z
dc.descriptionWe 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.
dc.identifierdoi:10.22004/ag.econ.21872
dc.identifierhttps://ageconsearch.umn.edu/record/21872/files/sp00bu02.pdf
dc.identifierhttp://ageconsearch.umn.edu/record/21872
dc.identifier.urihttp://hdl.handle.net/123456789/536732
dc.languageeng
dc.publisher
dc.sourcehttp://ageconsearch.umn.edu/record/21872
dc.titleWANTED: NO ARBITRAGE, DEAD OR ALIVE: A COMPARISON OF HEDGING WITH FUTURES CONTRACTS OR RESOURCE RESERVES FOR ARBITRAGE-FREE RESOURCE HARVEST CONTRACT VALUATION
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