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	Provedor de dados AgEcon (1) Autor Bozic, Marin (1) Fortenbery, T. Randall (1) Palavra-chave Agribusiness (1) Agricultural Finance (1) Arbitrage pricing model (1) Crop Production/Industries (1) Financial Economics (1) G13 (1) Generalized lambda distribution (1) Options on futures (1) Q11 (1) Q14 (1) Research Methods/ Statistical Methods (1) Risk and Uncertainty (1) Skewness (1) Theory of storage (1) Mais... Tipo do documento Conference Paper or Presentation (1) Ano 2011 (1) País United States (1) Idioma Inglês (1)		Ordenar por:  Relevância Autor Título Ano Registros recuperados: 1 Primeira ... 1 ... Última Pricing Options on Commodity Futures: The Role of Weather and Storage AgEcon Bozic, Marin; Fortenbery, T. Randall. Options on agricultural futures are popular financial instruments used for agricultural price risk management and to speculate on future price movements. Poor performance of Black’s classical option pricing model has stimulated many researchers to introduce pricing models that are more consistent with observed option premiums. However, most models are motivated solely from the standpoint of the time series properties of futures prices and need for improvements in forecasting and hedging performance. In this paper we propose a novel arbitrage pricing model motivated from the economic theory of optimal storage, and consistent with implications of plant physiology on the importance of weather stress. We introduce a pricing model for options on futures based... Tipo: Conference Paper or Presentation Palavras-chave: Arbitrage pricing model; Options on futures; Generalized lambda distribution; Theory of storage; Skewness; Agribusiness; Agricultural Finance; Crop Production/Industries; Financial Economics; Research Methods/ Statistical Methods; Risk and Uncertainty; G13; Q11; Q14. Ano: 2011 URL: http://purl.umn.edu/103638 Registros recuperados: 1 Primeira ... 1 ... Última

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