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	Provedor de dados AgEcon (1) Autor Koekebakker, Steen (1) Lien, Gudbrand D. (1) Palavra-chave Agricultural markets (1) Demand and Price Analysis (1) Futures (1) Jump-diffusion (1) Option pricing (1) Term structure of volatility (1) Mais... Tipo do documento Conference Paper or Presentation (1) Ano 2002 (1) País United States (1) Idioma Inglês (1)		Ordenar por:  Relevância Autor Título Ano Registros recuperados: 1 Primeira ... 1 ... Última Term Structure of Volatility and Price Jumps in Agricultural Markets - Evidence from Option Data AgEcon Koekebakker, Steen; Lien, Gudbrand D.. 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 Palavras-chave: Option pricing; Futures; Term structure of volatility; Jump-diffusion; Agricultural markets; Demand and Price Analysis. Ano: 2002 URL: http://purl.umn.edu/24874 Registros recuperados: 1 Primeira ... 1 ... Última

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