The Berkeley Program in Finance: Current Research

These options have been offered by dealers like Mocatta Metals since the early 1970s.

“Commodity Option Market Performance,” Proceedings of the Frontiers in Futures Conference, Columbia University, (December 1979); “An Introduction to the Valuation of Commodity Options.” Berkeley Research Program in Finance, Working Paper #110 and Center for the Study of Futures Markets, Columbia University, Working Paper #19, (June 1981); (with Draper D. ), “Portfolio Strategies Using Treasury Bond Options and Futures,” Review of Research in Futures Markets (1983); (with Yoo D. ), “Silver Coins: The Pricing of a Perpetual Commodity Option,” (December 1982); “The Valuation of Commodity Options,” in Brenner M. (ed.), Option Pricing: Theory and Applications, (Heath-Lexington 1982); (with Pan F. S. ), “The Valuation of GNMA Cash, Forwards, Futures and Options,” (December 1982); “Valuation of International Agricultural Commodity Options,” in Sarris A. Schmitz A. Storey G. (eds.), Proceedings of the USDA-Universities International Agricultural Trade Consortium, (Westview, 1983).

See “Commodity Options Market Performance,” “An Introduction to the Valuation of Commodity Options,” and “The Valuation of Commodity Options.”

See “Valuation of International Agricultural Commodity Options.”

Implicit variances are imputed from the option pricing model and previous measured transactions for options. Historic variances are estimated directly from the underlying asset prices.

See “Portfolio Strategies” and “The Valuation of GNMA Cash.”

See “Silver Coins.”