Option Based Assessments of Expected Price Distributions

Bruce J. Sherrick and Scott H. Irwin

No 285567, 1981-1999 Conference Archive from NCR-134/ NCCC-134 Applied Commodity Price Analysis, Forecasting, and Market Risk Management

Abstract: No-Arbitrage option pricing models are used to derive ex ante expected price distributions. The performance of the method is assessed in the context of the calibration of the derived probability density functions, evaluated at the expiration date prices. It is found that the soybean and S&P 500 option-based probability assessments display some evidence of miscalibration very near to expiration and far from expiration.

Keywords: Marketing (search for similar items in EconPapers)
Date: 1990-04
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Persistent link: https://EconPapers.repec.org/RePEc:ags:nc8191:285567

DOI: 10.22004/ag.econ.285567

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