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	Provedor de dados AgEcon (2) Autor Koekebakker, Steen (1) Lien, Gudbrand D. (1) Manfredo, Mark R. (1) Richards, Timothy J. (1) Palavra-chave Jump-diffusion (2) Option pricing (2) Agricultural markets (1) Black-Scholes (1) Contingent claim (1) Demand and Price Analysis (1) Futures (1) Grapes (1) Insurance (1) Risk and Uncertainty (1) Term structure of volatility (1) Mais... Tipo do documento Conference Paper or Presentation (1) Journal Article (1) Ano 2003 (1) 2002 (1) País United States (2) Idioma Inglês (2)		Ordenar por:  Relevância Autor Título Ano Registros recuperados: 2 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 Infrequent Shocks and Rating Revenue Insurance: A Contingent Claims Approach AgEcon Richards, Timothy J.; Manfredo, Mark R.. Revenue insurance represents an important new risk management tool for agricultural producers. While there are many farm-level products, Group Risk Income Protection (GRIP) is an area-based alternative. Insurers set premium rates for GRIP on the assumption of a continuous revenue distribution, but discrete events may cause the actual value of insurance to differ by a significant amount. This study develops a contingent claims approach to determining the error inherent in ignoring these infrequent events in rating GRIP insurance. An empirical example from the California grape industry demonstrates the significance of this error and suggests an alternative method of determining revenue insurance premiums. Tipo: Journal Article Palavras-chave: Black-Scholes; Contingent claim; Grapes; Insurance; Jump-diffusion; Option pricing; Risk and Uncertainty. Ano: 2003 URL: http://purl.umn.edu/31094 Registros recuperados: 2 Primeira ... 1 ... Última

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