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Commodity Futures Price Changes: Normality And Implications For Option Pricing

Author

Listed:
  • Sarassoro, Gboroton F.
  • Hudson, Michael A.
  • Leuthold, Raymond M.

Abstract

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.

Suggested Citation

  • Sarassoro, Gboroton F. & Hudson, Michael A. & Leuthold, Raymond M., 1986. "Commodity Futures Price Changes: Normality And Implications For Option Pricing," 1986 Annual Meeting, July 27-30, Reno, Nevada 278168, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association).
    • Handle: RePEc:ags:aaea86:278168
    DOI: 10.22004/ag.econ.278168
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    File URL: https://ageconsearch.umn.edu/record/278168/files/aaea-1986-109.pdf
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    Cited by:

    1. Hall, Joyce A. & Brorsen, B. Wade & Irwin, Scott H., 1989. "The Distribution of Futures Prices: A Test of the Stable Paretian and Mixture of Normals Hypotheses," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 24(1), pages 105-116, March.

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