Term structure of volatility and price jumps in agricultural markets - evidence from option data Abstract /доклад на 10 конгрессе ЕААЕ, Exploring Diversity in the European Agri-Food System, Zaragoza, Spain, 28-31 August 2002
Опубликовано на портале: 29-11-2003
2002
Тематический раздел:
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.
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