Data/hora: 03/06/2024 02:34:08

Provedor de dados: | 31
País: | United States
Título: | Term Structure of Volatility and Price Jumps in Agricultural Markets - Evidence from Option Data
Autores: | Koekebakker,   Steen; Lien,   Gudbrand D.
Data: | 2006-05-24
Ano: | 2002
Palavras-chave: | Option pricing; Futures; Term structure of volatility; Jump-diffusion; Agricultural markets; Demand and Price Analysis.
Resumo: | Empirical evidence suggests that agricultural futures price movements have fat-tailed distributions and exhibit sudden and unexpected price jumps. There is also evidence that the volatility of futures prices contains a term structure depending on both calendar-time and time to maturity. This paper extends Bates (1991) jump-diffusion option pricing model by including both seasonal and maturity effects in volatility. An in-sample fit to market option prices on wheat futures shows that our model outperforms previous models considered in the literature. A numerical example illustrates the economic significance of our results for option valuation.
Tipo: | Conference Paper or Presentation
Idioma: | Inglês

Identificador:

21515

http://purl.umn.edu/24874

Editor: | AgEcon Search

Relação:

European Association of Agricultural Economists&gt;2002 International Congress, August 28-31, 2002, Zaragoza, Spain

Contributed Paper

Formato:

33

application/pdf