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Transactions data tests of the black model for soybean futures options

Author

Listed:
  • James V. Jordan
  • William E. Seale
  • Nancy C. McCabe
  • David E. Kenyon

Abstract

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Suggested Citation

  • James V. Jordan & William E. Seale & Nancy C. McCabe & David E. Kenyon, 1987. "Transactions data tests of the black model for soybean futures options," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 7(5), pages 535-554, October.
    • Handle: RePEc:wly:jfutmk:v:7:y:1987:i:5:p:535-554
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    Cited by:

    1. Sherrick, Bruce J. & Irwin, Scott H. & Forster, D. Lynn, 1990. "Nonstationarity Of Soybean Futures Price Distributions: Option-Based Evidence," Illinois Agricultural Economics Staff Paper 244666, University of Illinois at Urbana-Champaign, Department of Agricultural and Consumer Economics.
    2. Lei, Li-Fen, 1992. "Using futures and option contracts to manage price and quantity risk: A case of corn farmers in central Iowa," ISU General Staff Papers 1992010108000011326, Iowa State University, Department of Economics.
    3. Lim, Terence & Lo, Andrew W. & Merton, Robert C. & Scholes, Myron S., 2006. "The Derivatives Sourcebook," Foundations and Trends(R) in Finance, now publishers, vol. 1(5–6), pages 365-572, April.

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