Weighting Implied Volatilities from Soybean and Live Cattle Options

Calum Turvey

No 270696, 1989 Annual Meeting, July 30-August 2, Baton Rouge, Louisiana from American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association)

Abstract: This study addresses . the problem of weighting implied volatilities ~, atitaiin ru ~e volatility measure for estimating option prices. Four methods were examn.edL 1llie: !iillRillest prediction error was found using an implied volatility weighted by the derivative of the option price with respect· to its standard deviation.

Keywords: Agricultural and Food Policy; Demand and Price Analysis (search for similar items in EconPapers)
Pages: 19
Date: 1989-07-30
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Persistent link: https://EconPapers.repec.org/RePEc:ags:aaea89:270696

DOI: 10.22004/ag.econ.270696

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