Volatility Surface and Skewness in Live Cattle Futures Price Distributions with Application to North American BSE Announcements
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- Black, Fischer, 1976. "The pricing of commodity contracts," Journal of Financial Economics, Elsevier, vol. 3(1-2), pages 167-179.
- 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.
- 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.
- 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.
- 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.
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