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Pricing options on film revenue

This article illustrates two models for cumulative revenues from films, a time-changed gamma process and a compound Poisson process, and how these models can be used to price options. Don Chance, Eric Hillebrand and Jimmy Hilliard find that while both…

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Commodities

Commodities participants are used to volatility. But the price moves that have taken place during the past year are almost unprecedented and have made life extremely tricky for many market participants.

Pricing options on film revenue

This article illustrates two models for cumulative revenues from films, a time-changed gamma process and a compound Poisson process, and how these models can be used to price options. Don Chance, Eric Hillebrand and Jimmy Hilliard find that while both…

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