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.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
Bibliographic InfoArticle provided by Taylor & Francis Journals in its journal Applied Financial Economics.
Volume (Year): 17 (2007)
Issue (Month): 7 ()
Contact details of provider:
Web page: http://www.tandfonline.com/RAFE20
You can help add them by filling out this form.
CitEc Project, subscribe to its RSS feed for this item.
- 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.
- Brittain, Lee & Garcia, Philip & Irwin, Scott H., 2009.
"Live and Feeder Cattle Options Markets: Returns, Risk, and Volatility Forecasting,"
2009 Conference, April 20-21, 2009, St. Louis, Missouri
53038, NCCC-134 Conference on Applied Commodity Price Analysis, Forecasting, and Market Risk Management.
- Brittain, Lee & Garcia, Philip & Irwin, Scott H., 2011. "Live and Feeder Cattle Options Markets: Returns, Risk, and Volatility Forecasting," Journal of Agricultural and Resource Economics, Western Agricultural Economics Association, vol. 36(1), April.
- 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.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Michael McNulty).
If references are entirely missing, you can add them using this form.