• David Lee deposited Gold Option Pricing Model in the group Group logo of Scholarly CommunicationScholarly Communication on Humanities Commons 7 months, 2 weeks ago

    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.