Volatility Surface and Skewness in Live Cattle Futures Price Distributions with Application to North American BSE Announcements
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Bibliographic InfoPaper provided by Agricultural and Applied Economics Association in its series 2009 Annual Meeting, July 26-28, 2009, Milwaukee, Wisconsin with number 49354.
Date of creation: 2009
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options markets; live cattle; volatility; pricing density function; Financial Economics; Livestock Production/Industries; Risk and Uncertainty;
This paper has been announced in the following NEP Reports:
- NEP-ALL-2009-05-16 (All new papers)
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Thorsten M. Egelkraut & Philip Garcia & Bruce J. Sherrick, 2007. "The Term Structure of Implied Forward Volatility: Recovery and Informational Content in the Corn Options Market," American Journal of Agricultural Economics, Agricultural and Applied Economics Association, vol. 89(1), pages 1-11.
- Devadoss, Stephen & Holland, David W. & Stodick, Leroy & Ghosh, Joydeep, 2006. "A General Equilibrium Analysis of Foreign and Domestic Demand Shocks Arising from Mad Cow Disease in the United States," Journal of Agricultural and Resource Economics, Western Agricultural Economics Association, vol. 31(02), August.
- Black, Fischer, 1976. "The pricing of commodity contracts," Journal of Financial Economics, Elsevier, vol. 3(1-2), pages 167-179.
- Gurdip Bakshi & Nikunj Kapadia & Dilip Madan, 2003. "Stock Return Characteristics, Skew Laws, and the Differential Pricing of Individual Equity Options," Review of Financial Studies, Society for Financial Studies, vol. 16(1), pages 101-143.
- Ser-Huang Poon & Clive W.J. Granger, 2003. "Forecasting Volatility in Financial Markets: A Review," Journal of Economic Literature, American Economic Association, vol. 41(2), pages 478-539, June.
- Yanhong H. Jin & Gabriel J. Power & Levan Elbakidze, 2008. "The Impact of North American BSE Events on Live Cattle Futures Prices," American Journal of Agricultural Economics, Agricultural and Applied Economics Association, vol. 90(5), pages 1279-1286.
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