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

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Abstract
  • 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.
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  • 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 of Fisheries Economics and Trade, July 10-14, 2000, Corvallis, Oregon, USA. Compiled by Richard S. Johnston and Ann L. Shriver. International Institute of Fisheries Economics and Trade (IIFET), Corvallis, 2001.
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  • Corvallis, Oregon, USA
Proceedings Editors
  • Johnston, Richard S.
  • Shriver, Ann L.
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  • International Institute of Fisheries Economics and Trade; U.S. National Marine Fisheries Service; MG Kailis Group
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