How do you straddle hogs and pigs? Ask the Greeks!
AbstractEvidence of distortions is found in commodity options premiums around informational events. Option Greeks are used to uncover the nature of these distortions in terms of underlying factors. Both changes in underlying futures prices and implied volatility are mispriced.
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Bibliographic InfoArticle provided by Taylor and Francis Journals in its journal Applied Financial Economics.
Volume (Year): 17 (2007)
Issue (Month): 7 ()
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Web page: http://www.tandf.co.uk/journals/routledge/09603107.html
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- Bozic, Marin & Newton, John & Thraen, Cameron S. & Gould, Brian W., 2012. "Parametric Bootstrap Tests for Futures Price and Implied Volatility Biases with Application to Rating Livestock Margin Insurance for Dairy Cattle," Staff Papers 135077, University of Minnesota, Department of Applied Economics.
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2009 Conference, April 20-21, 2009, St. Louis, Missouri
53038, NCCC-134 Conference on Applied Commodity Price Analysis, Forecasting, and Market Risk Management.
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- Olga Isengildina-Massa & Scott H. Irwin & Darrel L. Good & Jennifer K. Gomez, 2008. "Impact of WASDE reports on implied volatility in corn and soybean markets," Agribusiness, John Wiley & Sons, Ltd., vol. 24(4), pages 473-490.
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