COMMODITY FUTURES PRICE CHANGES: NORMALITY AND IMPLICATIONS FOR OPTION PRICING
Gboroton F. Sarassoro,
Michael A. Hudson and
Raymond M. Leuthold
No 278168, 1986 Annual Meeting, July 27-30, Reno, Nevada from American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association)
The distribution of day-to-day price changes for wheat, soybean, and live cattle futures contracts was examined for the period from January 1973 through December 1982. The results demonstrate a move toward independence and normality, suggesting option pricing formulae which assume normality may provide accurate representations of option values.
Keywords: Crop Production/Industries; Demand and Price Analysis (search for similar items in EconPapers)
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Persistent link: https://EconPapers.repec.org/RePEc:ags:aaea86:278168
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