226
Views
0
CrossRef citations to date
0
Altmetric
Original Articles

Can real option values explain apparent storage at a loss?

&
Pages 2081-2090 | Published online: 14 Apr 2011

References

  • Anderson , KB and Brorsen , BW . 2005 . Marketing performance of Oklahoma farmers . American Journal of Agricultural Economics , 87 : 1265 – 71 .
  • Asano , H . 2010 . Estimating irreversible investment with financial constraints: an application of switching regression models . Applied Economics , 42 : 211 – 22 .
  • Bessembinder , H , Coughenour , JF , Seguin , PJ and Smoller , MM . 1995 . Mean reversion in equilibrium asset prices: evidence from the futures term structure . The Journal of Finance , 50 : 361 – 75 .
  • Bessler , DA and Covey , T . 1991 . Cointegration: some results on US cattle prices . The Journal of Futures Markets , 11 : 461 – 74 .
  • Black , F and Scholes , M . 1973 . The pricing of option and corporate liabilities . Journal of Political Economics , 81 : 637 – 59 .
  • Brennan , MJ and Schwartz , ES . 1985 . Evaluating natural resource investments . The Journal of Business , 58 : 135 – 57 .
  • Boyle , PP . 1986 . Option valuation using a three-jump process . International Options Journal , 3 : 7 – 12 .
  • Brorsen , BW and Irwin , SH . 1996 . Improving the relevance of research on price forecasting and marketing strategies . Agricultural and Resource Economics Review , 25 : 68 – 75 .
  • Chen , R-R and Yang , TT . 1999 . A universal lattice . Review of Derivatives Research , 3 : 115 – 33 .
  • Cox , JC , Ross , SA and Rubinstein , M . 1979 . Option pricing: a simplified approach . Journal of Financial Economics , 7 : 229 – 64 .
  • Dixit , AK and Pindyck , RS . 1994 . Investment Under Uncertainty , Princeton , NJ : Princeton University Press .
  • Ekboir , JM . 1997 . Technical change and irreversible investment under risk . Agricultural Economics , 16 : 54 – 65 .
  • Fackler , PL and Livingston , MJ . 2002 . Optimal storage by crop producers . American Journal of Agricultural Economics , 84 : 645 – 59 .
  • Farmdoc, University of Illinois at Urbana-Champaign (2008) Available at http://www.farmdoc.uiuc.edu/marketing/cash/CashTableChart.asp (accessed 15 April 2008)
  • Hagedorn , LA , Irwin , SH , Good , DL and Colino , EV . 2005 . Does the performance of Illinois corn and soya bean farmers lag the market? . American Journal of Agricultural Economics , 87 : 1271 – 9 .
  • Hull , J and White , A . 1990 . Valuing derivative securities using the explicit finite difference method . Journal of Financial and Quantitative Analysis , 25 : 87 – 100 .
  • Irwin, S. H., Good, D. L., Martines-Filho, J. and Batts, R. M. (2006) The pricing performance of market advisory services in corn and soya beans over 1995–2004, AgMAS Project Research Report 2006-02, Department of Agricultural and Consumer Economics, University of Illinois
  • Ji , D and Brorsen , BW . 2011 . A recombining lattice option pricing model that relaxes the assumption of lognormality Review of Derivatives Research, doi:10.1007/s11147-010-9060-3
  • Kansas City Federal Reserve Bank (2008) Bank prime loan. Available at http://www.federalreserve.gov/releases/h15/data/Monthly/H15_PRIME_NA.txt (accessed 15 April 2008)
  • Khanna , M , Isik , M and Winter-Nelson , A . 2000 . Investment in site-specific crop management under uncertainty: implications for nitrogen pollution control and environmental policy . Agricultural Economics , 24 : 9 – 21 .
  • Lence , S and Hayenga , ML . 2001 . On the pitfalls of multi-year rollover hedges: the case of hedge-to-arrive contracts . American Journal of Agricultural Economics , 83 : 107 – 19 .
  • Lence , S , Kimle , K and Hayenga , ML . 1993 . A dynamic minimum variance hedge . American Journal of Agricultural Economics , 75 : 1063 – 71 .
  • Oklahoma Cooperative Extension Service (2007) Electronic database, Oklahoma State University, Stillwater, OK
  • Purvis , A , Boggess , WG , Moss , CB and Holt , J . 1995 . Technology adoption decisions under irreversibility and uncertainty: an ex ante approach . American Journal of Agricultural Economics , 78 : 541 – 51 .
  • Richards , TJ , Nganje , WE and Acharya , RN . 2009 . Public goods, hysteresis, and underinvestment in food safety . Journal of Agricultural and Resource Economics , 34 : 464 – 82 .
  • Schroeder , TC and Goodwin , BK . 1991 . Price discovery and cointegration for live hogs . The Journal of Futures Markets , 11 : 685 – 96 .
  • Speight , AEH and Thompson , P . 2006 . Is investment time irreversible? Some empirical evidence for disaggregated UK manufacturing data . Applied Economics , 38 : 2265 – 75 .
  • Szimayer , A and Maller , R . 2004 . Testing for mean reversion in processes of Ornstein-Uhlenbeck type . Statistical Inference for Stochastic Processes , 7 : 95 – 113 .
  • US Department of Labor (2008) Bureau of Labor Statistics Producer Price Index. Available at http://data.bls.gov/cgi-bin/surveymost (accessed 30 June 2008)
  • USDA (1975−2007) Oklahoma Market Reports, US Department of Agriculture
  • USDA (2008) US Department of Agriculture, National Agricultural Statistics Service (NASS). Available at http://www.nass.usda.gov/QuickStats/ (accessed 12 February 2008)
  • Usset , E . 2007 . Grain Marketing is Simple: It's Just Not Easy , Minneapolis , MN : The Center for Farm Financial Management .
  • Wang , D and Tomek , WG . 2007 . Commodity prices and unit root tests . American Journal of Agricultural Economics , 89 : 873 – 89 .
  • Winter-Nelson , A and Amegbeto , K . 1998 . Option values to conservation and agricultural price policy: application to terrace construction in Kenya . American Journal of Agricultural Economics , 80 : 409 – 18 .
  • Yoon , B-S and Brorsen , BW . 2005 . Can multiyear rollover hedging increase mean returns? . Journal of Agricultural and Applied Economics , 37 : 65 – 78 .

Reprints and Corporate Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

To request a reprint or corporate permissions for this article, please click on the relevant link below:

Academic Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

Obtain permissions instantly via Rightslink by clicking on the button below:

If you are unable to obtain permissions via Rightslink, please complete and submit this Permissions form. For more information, please visit our Permissions help page.