COMMODITY FUTURES PRICE CHANGES: NORMALITY AND IMPLICATIONS FOR OPTION PRICING

The distribution of day-to-day price changes for wheat, soybean, and live cattle futures contracts was examined for the period from January 1973 through December 1982. The results demonstrate a move toward independence and normality, suggesting option pricing formulae which assume normality may provide accurate representations of option values.


Issue Date:
1986-07
Publication Type:
Conference Paper/ Presentation
DOI and Other Identifiers:
Record Identifier:
https://ageconsearch.umn.edu/record/278168
Language:
English
Total Pages:
15




 Record created 2018-10-12, last modified 2020-10-28

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