AN INVESTIGATION OF PRICING MODELS FOR LIVE CATTLE FUTURES OPTIONS

Robert A. Pelly, Scott H. Irwin and Carl R. Zulauf

No 271202, 1991 Annual Meeting, August 4-7, Manhattan, Kansas from American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association)

Abstract: Black's European model predicts premiums of live cattle futures options as accurately as Barone-Adesi and Whaley's American model. Implied volatility estimators generate more accurate forecasts of actual option premia than historical volatility. Bias regression results are consistent with accuracy tests. Only implied volatility-based models exhibit market timing .ability.

Keywords: Demand and Price Analysis; Livestock Production/Industries (search for similar items in EconPapers)
Pages: 17
Date: 1991-08-04
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Persistent link: https://EconPapers.repec.org/RePEc:ags:aaea91:271202

DOI: 10.22004/ag.econ.271202

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