Volatility Models for Commodity Markets

Paul L. Fackler and Yanjun Tian

No 285755, 1981-1999 Conference Archive from NCR-134/ NCCC-134 Applied Commodity Price Analysis, Forecasting, and Market Risk Management

Abstract: The time structure of volatilty in futures prices and implied volatility implicit in option premia is derived from an underlying model of spot price behavior. The model suggests a number of characteristic features that should be present in observed market prices. These features are found in soybean futures and options on soybean futures.

Keywords: Marketing (search for similar items in EconPapers)
Date: 1999-04
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Persistent link: https://EconPapers.repec.org/RePEc:ags:nc8191:285755

DOI: 10.22004/ag.econ.285755

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