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Weighting Implied Volatilities from Soybean and Live Cattle Options

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  • Turvey, Calum G.

Abstract

This study addresses . the problem of weighting implied volatilities ~, atitaiin ru ~e volatility measure for estimating option prices. Four methods were examn.edL 1llie: !iillRillest prediction error was found using an implied volatility weighted by the derivative of the option price with respect· to its standard deviation.

Suggested Citation

  • Turvey, Calum G., 1989. "Weighting Implied Volatilities from Soybean and Live Cattle Options," 1989 Annual Meeting, July 30-August 2, Baton Rouge, Louisiana 270696, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association).
    • Handle: RePEc:ags:aaea89:270696
    DOI: 10.22004/ag.econ.270696
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    References listed on IDEAS

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    1. Barone-Adesi, Giovanni & Whaley, Robert E, 1987. "Efficient Analytic Approximation of American Option Values," Journal of Finance, American Finance Association, vol. 42(2), pages 301-320, June.
    2. Robert C. Merton, 2005. "Theory of rational option pricing," World Scientific Book Chapters, in: Sudipto Bhattacharya & George M Constantinides (ed.), Theory Of Valuation, chapter 8, pages 229-288, World Scientific Publishing Co. Pte. Ltd..
    3. Beckers, Stan, 1981. "Standard deviations implied in option prices as predictors of future stock price variability," Journal of Banking & Finance, Elsevier, vol. 5(3), pages 363-381, September.
    4. Day, Theodore E. & Lewis, Craig M., 1988. "The behavior of the volatility implicit in the prices of stock index options," Journal of Financial Economics, Elsevier, vol. 22(1), pages 103-122, October.
    5. Latane, Henry A & Rendleman, Richard J, Jr, 1976. "Standard Deviations of Stock Price Ratios Implied in Option Prices," Journal of Finance, American Finance Association, vol. 31(2), pages 369-381, May.
    6. Chiras, Donald P. & Manaster, Steven, 1978. "The information content of option prices and a test of market efficiency," Journal of Financial Economics, Elsevier, vol. 6(2-3), pages 213-234.
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