THE CALIBRATION OF EXPECTED SOYBEAN PRICE DISTRIBUTIONS: AN OPTION BASED APPROACH
Bruce Sherrick (),
D. Lynn Forster and
Scott H. Irwin
No 270919, 1990 Annual meeting, August 5-8, Vancouver, Canada from American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association)
No-arbitrage option pricing models are used to recover complete probabilistic descriptions of expected soybean futures prices. The usefulness of the approach is examined via calibration tests. Results indicate that the estimated distributions are fairly reliable and that a three-parameter Burr distribution is useful in characterizing expected prices.
Keywords: Crop Production/Industries; Demand and Price Analysis; Research Methods/ Statistical Methods (search for similar items in EconPapers)
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Persistent link: https://EconPapers.repec.org/RePEc:ags:aaea90:270919
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