Characteristics of Implied Volatilities of Options on Live-Cattle Futures

James S. Eales and Robert J. Hauser

No 278459, 1986 Annual Meeting, July 27-30, Reno, Nevada from American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association)

Abstract: Implied volatilities as variance forecasts are discussed in terms of expected biases caused by differences between option-valuation theory and practice. An empirical analysis of the 1985 live-cattle options market indicates that the implied volatility was generated by different underlying processes, depending on option type and contract.

Keywords: Agricultural and Food Policy; Livestock Production/Industries; Production Economics (search for similar items in EconPapers)
Pages: 16
Date: 1986-07
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Persistent link: https://EconPapers.repec.org/RePEc:ags:aaea86:278459

DOI: 10.22004/ag.econ.278459

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