THE CALIBRATION OF EXPECTED SOYBEAN PRICE DISTRIBUTIONS: AN OPTION BASED APPROACH

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.


Issue Date:
Aug 05 1990
Publication Type:
Conference Paper/ Presentation
Record Identifier:
http://ageconsearch.umn.edu/record/270919
Language:
English
Total Pages:
16




 Record created 2018-04-06, last modified 2018-04-06

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