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Modifying Traditional Option Pricing Formulae For Options On Soybean Futures

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  • Hauser, Robert J.
  • Anderson, Dane K.

Abstract

The option pricing assumptions that (a) the logarithmic price return on soybean futures is distributed normally and (b) the variance of the instantaneous return is constant throughout the option contract's life are investigated. Systematic variance changes are then incorporated into an option pricing formula and the resultant premia are compared to constant-variance premia.

Suggested Citation

  • Hauser, Robert J. & Anderson, Dane K., 1984. "Modifying Traditional Option Pricing Formulae For Options On Soybean Futures," 1984 Annual Meeting, August 5-8, Ithaca, New York 279099, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association).
    • Handle: RePEc:ags:aaea84:279099
    DOI: 10.22004/ag.econ.279099
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    File URL: https://ageconsearch.umn.edu/record/279099/files/aaea-1984-151.pdf
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    References listed on IDEAS

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    1. Peterson, Paul E. & Leuthold, Raymond M., 1982. "Using Mechanical Trading Systems To Evaluate The Weak Form Efficiency Of Futures Markets," Southern Journal of Agricultural Economics, Southern Agricultural Economics Association, vol. 14(01), pages 1-5, July.
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    Cited by:

    1. Setia, Parveen & Letson, Dave, 1991. "Farm Level Impacts Of Improving Environmental Quality Under Risk," 1991 Annual Meeting, August 4-7, Manhattan, Kansas 271085, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association).

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