How do you straddle hogs and pigs? Ask the Greeks!

Andrew McKenzie, Michael Thomsen and Josh Phelan

Applied Financial Economics, 2007, vol. 17, issue 7, 511-520

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.

Date: 2007
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DOI: 10.1080/09603100500428230

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