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The Calibration Of Expected Soybean Price Distributions: An Option Based Approach

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  • Sherrick, Bruce J.
  • Forster, D. Lynn
  • Irwin, Scott H.

Abstract

No-arbitrage option pricing models are used to recover complete probabilistic descriptions of expected soybean futures prices. The usefulness of the approach is examined via calibration tests. Results indicate that the estimated distributions are fairly reliable and that a three-parameter Burr distribution is useful in characterizing expected prices.

Suggested Citation

  • Sherrick, Bruce J. & Forster, D. Lynn & Irwin, Scott H., 1990. "The Calibration Of Expected Soybean Price Distributions: An Option Based Approach," 1990 Annual meeting, August 5-8, Vancouver, Canada 270919, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association).
  • Handle: RePEc:ags:aaea90:270919
    DOI: 10.22004/ag.econ.270919
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    References listed on IDEAS

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    1. Ross, Stephen A, 1978. "A Simple Approach to the Valuation of Risky Streams," The Journal of Business, University of Chicago Press, vol. 51(3), pages 453-475, July.
    2. Singh, S K & Maddala, G S, 1976. "A Function for Size Distribution of Incomes," Econometrica, Econometric Society, vol. 44(5), pages 963-970, September.
    3. Schmalensee, Richard & Trippi, Robert R, 1978. "Common Stock Volatility Expectations Implied by Option Premia," Journal of Finance, American Finance Association, vol. 33(1), pages 129-147, March.
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