THE PRIVATE VALUE OF HAVING ACCESS TO DERIVATIVE SECURITIES: AN EXAMPLE USING COMMODITY OPTIONS DAVID W. BULLOCK and DERMOT J. HAYES Abstract Antonovitz and Roe (1986) developed a Bayesian framework for the construction of a money metric measure of the value of information. This paper extends the Antonovitz-Roe framework to the construction of a money metric measuring an investor’s private value for having access to a derivative security market, given a constant information set containing moments of the underlying price distribution. In particular, the case of commodity options is examined. Results from the analytical model show that the value measure can never be negative and is equal to zero only when the investor’s expected marginal speculative return to the option is equal to the hedge-adjusted marginal expected speculative return to the underlying futures contract. Simu- lation analysis of the analytical model indicates that information on the mean of the underlying price distribution is more significant than information on the variance in affecting the access value of the option. Direct all correspondence to: David W. Bullock, Assistant Professor of Agricultural Economics and Economics, Montana State University, Bozeman, Montana l Dermot J. Hayes, Associate Professor of Agricultural Economics, Iowa State University, Ames, Iowa. InternatIonaI Review of Economies and FInanee, 2.(3) 233-249 Cqyright 8 1993by JAI Press, Inc. ISSN: 10.59-0560 All rights of renrcduction in any form reserved. 233