An Autoregressive Forecast of the World Sugar Future Option Market

Abstract

The dramatic surge of the commodity option market over the past few years may well be illustrated by the growth (before its collapse) of one leading option writer, Goldstein, Samuelson, Inc., whose sales rose from 45 million by the end of 1972. The commodity option market is closely related to the commodity futures market, except that options are available only on the so-called “international” commodities.