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Gold Option Pricing Model
- Author(s):
- David Lee (see profile)
- Date:
- 2023
- Group(s):
- Business Management
- Subject(s):
- Derivative securities, Commodity exchanges, Contingent valuation
- Item Type:
- Report
- Tag(s):
- gold derivatives, derivative valuation, pricing model
- Permanent URL:
- https://doi.org/10.17613/wqg4-1f24
- Abstract:
- We present a valuation model for pricing a gold derivatives trade. The trade can be structured to synthesize a typical gold-miner’s hedge, specifically, a swap in which one party receives long-term interest rates and pays a blend of short-term interest rates and short-term gold lease rates.
- Notes:
- https://www.mysciencework.com/publication/download/e18756ecbccce8dfb1a17faf161a2ad8/b28779ffea39134b8844341c3c4c2ff7
- Metadata:
- xml
- Status:
- Published
- Last Updated:
- 4 weeks ago
- License:
- Attribution
goldoption.pdf