Empirical Performance of Alternative Option Pricing Models for Commodity Futures Options

Gang Chen, Matthew C. Roberts and Brian Roe

No 19183, 2005 Annual meeting, July 24-27, Providence, RI from American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association)

Abstract: The central part of pricing agricultural commodity futures options is to find appropriate stochastic process of the underlying assets. The Black's (1976) futures option pricing model laid the foundation for a new era of futures option valuation theory. The geometric Brownian motion assumption girding the Black's model, however, has been regarded as unrealistic in numerous empirical studies. Option pricing models incorporating discrete jumps and stochastic volatility have been studied extensively in the literature. This study tests the performance of major alternative option pricing models and attempts to find the appropriate model for pricing commodity futures options.

Keywords: Marketing (search for similar items in EconPapers)
Pages: 15
Date: 2005
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
https://ageconsearch.umn.edu/record/19183/files/sp05ch05.pdf (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:ags:aaea05:19183

DOI: 10.22004/ag.econ.19183

Access Statistics for this paper

More papers in 2005 Annual meeting, July 24-27, Providence, RI from American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association) Contact information at EDIRC.
Bibliographic data for series maintained by AgEcon Search ().