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)

Abstract: 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)
Pages: 16
Date: 1990-08-05
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
https://ageconsearch.umn.edu/record/270919/files/aaea-1990-088.pdf (application/pdf)
https://ageconsearch.umn.edu/record/270919/files/a ... 8.pdf?subformat=pdfa (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:ags:aaea90:270919

DOI: 10.22004/ag.econ.270919

Access Statistics for this paper

More papers in 1990 Annual meeting, August 5-8, Vancouver, Canada from American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association) Contact information at EDIRC.
Bibliographic data for series maintained by AgEcon Search ().