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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)

Abstract: 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)
Date: 1986-07
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Persistent link: https://EconPapers.repec.org/RePEc:ags:aaea86:278168

DOI: 10.22004/ag.econ.278168

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