MODIFYING TRADITIONAL OPTION PRICING FORMULAE FOR OPTIONS ON SOYBEAN FUTURES

Robert J. Hauser and Dane K. Anderson

No 279099, 1984 Annual Meeting, August 5-8, Ithaca, New York from American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association)

Abstract: The option pricing assumptions that (a) the logarithmic price return on soybean futures is distributed normally and (b) the variance of the instantaneous return is constant throughout the option contract's life are investigated. Systematic variance changes are then incorporated into an option pricing formula and the resultant premia are compared to constant-variance premia.

Keywords: Agricultural Finance; Demand and Price Analysis (search for similar items in EconPapers)
Pages: 17
Date: 1984-08
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Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:ags:aaea84:279099

DOI: 10.22004/ag.econ.279099

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