A Comparison of Hedging Futures Contract with Developed Versus Undeveloped Assets for Arbitrage-free Resource Harvest Contract Valuation Public Deposited

http://ir.library.oregonstate.edu/concern/conference_proceedings_or_journals/nk322f16b

The paper presented here is an abstract version (4 pages) of the complete work currently under review for referreed publication. If you wish a full copy of the paper, please contact the author  at.burnese@ucs.orst.edu

Descriptions

Attribute NameValues
Creator
Abstract or Summary
  • In this paper a real options approach is taken to natural resource contract valuation. A comparison is made between hedging with futures on developed (harvested) versus undeveloped assets. The risk-free Q martingale probability measure is obtained for the developed asset, and modified to a cost-adjusted Q martingale in the undeveloped case. The convenience yield is examined and explicitly determined for a given price and cost structure.
Resource Type
Date Available
Date Copyright
Date Created
Date Issued
Citation
  • Nurnes, Ellen I. A Comparison of Hedging Futures Contract with Developed Versus Undeveloped Assets for Arbitrage-free Resource Harvest Contract Valuation. In: Microbehavior and Macroresults:Proceedings of the Tenth Biennial Conference of the International Institute ofFisheries Economics and Trade, July 10-14, 2000, Corvallis, Oregon, USA.Compiled by Richard S. Johnston and Ann L. Shriver. InternationalInstitute of Fisheries Economics and Trade (IIFET), Corvallis, 2001.
Proceedings Editors
  • Johnston, Richard S.
  • Shriver, Ann L.
Keyword
Rights Statement
Funding Statement (additional comments about funding)
Publisher
Replaces
Additional Information
  • description.provenance : Submitted by Janet Webster (janet.webster@oregonstate.edu) on 2012-06-30T20:51:14Z No. of bitstreams: 1 014.pdf: 39383 bytes, checksum: 54393d9eb70baa6c4d9c715b3e0503c0 (MD5)
  • description.provenance : Made available in DSpace on 2012-06-30T21:10:41Z (GMT). No. of bitstreams: 1 014.pdf: 39383 bytes, checksum: 54393d9eb70baa6c4d9c715b3e0503c0 (MD5) Previous issue date: 2001
  • description.provenance : Approved for entry into archive by Janet Webster(janet.webster@oregonstate.edu) on 2012-06-30T21:10:41Z (GMT) No. of bitstreams: 1 014.pdf: 39383 bytes, checksum: 54393d9eb70baa6c4d9c715b3e0503c0 (MD5)

Relationships

Parents:

This work has no parents.

Last modified

Downloadable Content

Download PDF

Items