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

We 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.

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Year of publication:	2000
Authors:	Burnes, Ellen
Institutions:	Agricultural and Applied Economics Association - AAEA
Subject:	Financial Economics \| Marketing

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Extent:	application/pdf
Series:	2000 Annual meeting, July 30-August 2, Tampa, FL.
Type of publication:	Book / Working Paper
Notes:	The text is part of a series 2000 Annual meeting, July 30-August 2, Tampa, FL Number 21872
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005801288