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How do you straddle hogs and pigs? Ask the Greeks!
Michael Thomsen and
, 2007, vol. 17, issue 7, pages 511-520
Applied Financial Economics Abstract:
Evidence of distortions is found in commodity options premiums around informational events. Option Greeks are used to uncover the nature of these distortions in terms of underlying factors. Both changes in underlying futures prices and implied volatility are mispriced.
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