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Pricing options on agricultural futures: An application of the constant elasticity of variance option pricing model

1985; Wiley; Volume: 5; Issue: 2 Linguagem: Inglês

10.1002/fut.3990050208

1096-9934

Jin Wook Choi, Francis A. Longstaff,

Market Dynamics and Volatility

Journal of Futures MarketsVolume 5, Issue 2 p. 247-258 Article Pricing options on agricultural futures: An application of the constant elasticity of variance option pricing model Jin W. Choi, Jin W. Choi Staff Economist for the Chicago Board of Trade. Dr. Choi received his Ph.D. in Economics from Iowa State UniversitySearch for more papers by this authorFrancis A. Longstaff, Francis A. Longstaff Doctoral student in Finance at the University of ChicagoSearch for more papers by this author Jin W. Choi, Jin W. Choi Staff Economist for the Chicago Board of Trade. Dr. Choi received his Ph.D. in Economics from Iowa State UniversitySearch for more papers by this authorFrancis A. Longstaff, Francis A. Longstaff Doctoral student in Finance at the University of ChicagoSearch for more papers by this author First published: Summer 1985 https://doi.org/10.1002/fut.3990050208Citations: 30 AboutPDF ToolsRequest permissionExport citationAdd to favoritesTrack citation ShareShare Give accessShare full text accessShare full-text accessPlease review our Terms and Conditions of Use and check box below to share full-text version of article.I have read and accept the Wiley Online Library Terms and Conditions of UseShareable LinkUse the link below to share a full-text version of this article with your friends and colleagues. Learn more.Copy URL Share a linkShare onEmailFacebookTwitterLinkedInRedditWechat Bibliography Asay, M. R. (1982): "A Note on the Design of Commodity Option Contracts," Journal of Futures Markets, 2: 1–17. Black, F. (1976): "The Pricing of Commodity Contracts," Journal of Financial Economics, 3: 167–179. Black, F., and Scholes, M. (1973): "The Pricing of Options and Corporate Liabilities," Journal of Political Economy, 81: 163–175. Box, G. E. P., and Pierce, D. A. (1970): "Distribution of Residual Autocorrelations in Autogressive-Integrated Moving Average Time Series Models," Journal of American Statistical Association 65 (3): 1509–1526. Constantinides, G. M. (1978): "Market Risk Adjustment in Project Valuation," Journal of Finance, 23: 603–616. Cox, J. (1975): " Notes on Option Pricing #1: Constant Elasticity of Variance Diffusions," Unpublished manuscript, Stanford University, Stanford, CA. Cox, J. C., and Ross, S. A. (1976): "The Valuation of Options for Alternative Stochastic Processes," Journal of Financial Economics, 3 (January/March): 145–166. Cox, J. C., Ross, S. A., and Rubinstein, M. (1979): "Option Pricing: A Simplified Approach," Journal of Financial Economics, 7: 229–263. Cox, J., and Rubinstein, M. (1978): Options Markets, Prentice-Hall, Englewood Cliffs, NJ. Fama, E. F. (1976): Foundations of Finance, Basic Books, New York. Geske, R. (1979): "The Valuation of Compound Options," Journal of Financial Economics, 7: 63–81. Irwin, H. S. (1935): "Seasonal Cycles in Aggregates of Wheat-Futures Contracts," Journal of Political Economics, 43: 34–49. Ito, K., and McKean, H. P., Jr. (1964): Diffusion Processes and their Sample Paths, Academic, New York. Jarrow, R. A., and Rudd, A. (1983): Option Pricing, Richard D. Irwin, Homewood, IL. Johnston, J. (1972): Econometric Methods, McGraw-Hill, New York. Merton, R. C. (1971): "Optimum Consumption and Portfolio Rules in a Continuous-Time Model," Journal of Economic Theory, 3: 373–413. Merton, R. C. (1973): "An Intertemporal Capital Asset Pricing Model," Econometria, 41 (September): 867–887. Merton, R. C. (1973): "Theory of Rational Option Pricing," The Bell Journal of Economics and Management Science, 4: 141–183. Merton, R. C. (1976): "Option Pricing wher Underlying Stock Returns are Discontinuous," Journal of Financial Economics, 3 (1 & 2): 125–144. Merton, R. C. (1977): " On the Pricing of Contingent Claims and the Modigliani–Miller Theorem," Journal of Financial Economics, 241–249. Roll, R. (1977): "An Analytic Valuation Formula for Unprotected American Call Options on Stocks with Known Dividends," Journal of Financial Economics, 5: 251–258. Smith, C. W., Jr. (1976): "Option Pricing: A Review," Journal of Financial Economics, 3: 3–51. Tomek, W. G., and Robinson, K. L. (1981): Agricultural Product Prices, 2nd ed., Cornell University Press, Ithaca. Working, H. (1958): "A Theory of Anticipatory Prices," American Economic Review 48 (2): 188–199. Working, H. (1960): "Note on the Correlation of First Differences of Averages in a Random Chain," Econometrica, 28: 916–918. Vaughn, R., Kelly, M., and Hochheimer, F. (1981): "Identifying Seasonality in Futures Prices Using X-11," Journal of Futures Markets, 1: 93–101. Zellner, A. (1962): "An Efficient Method of Estimating Seemingly Unrelated Regressions and Tests for Aggregation Bias," Journal of the American Statistical Association, 57: 348–368. Citing Literature Volume5, Issue2Summer 1985Pages 247-258 ReferencesRelatedInformation