Understanding the non-convergence of agricultural futures via stochastic storage costs and timing options

Understanding the Non-Convergence of Agricultural Futures via Stochastic Storage Costs and Timing Options

This paper studies the market phenomenon of non-convergence between futures and spot prices in the grains market. We postulate that the positive basis observed at maturity stems from the futures holder’s timing options to exercise the shipping certificate delivery item and subsequently liquidate the physical grain. In our proposed approach, we incorporate stochastic spot price and storage cost,...

Dynamic Decision Making in Agricultural Futures and Options Markets

the investigation of research articles in applied linguistics: convergence and divergence in iranian elt context

چکیده ندارد.

on the effect of linear & non-linear texts on students comprehension and recalling

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Convergence of the Stochastic Mesh Estimator for Pricing American Options

Broadie and Glasserman proposed a simulation-based method they named stochastic mesh for pricing highdimensional American options. Based on simulated states of the assets underlying the option at each exercise opportunity, the method produces an estimator of the option value at each sampled state. Under the mild assumption of the finiteness of certain moments, we derive an asymptotic upper boun...