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Nonstationarity Of Soybean Futures Price Distributions: Option-Based Evidence

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

Abstract

No-Arbitrage option pricing models are used to estimate ex ante soybean futures price distributions. Volatility measures of these distributions are modeled in an endogenous-switchpoint regression as functions of price level and time-to-maturity. Results indicate volatility measures are not stationary, and exhibit regime dependent influences of time-to-maturity and price level.

Suggested Citation

  • Sherrick, Bruce J. & Irwin, Scott H. & Forster, D. Lynn, 1990. "Nonstationarity Of Soybean Futures Price Distributions: Option-Based Evidence," 1990 Annual meeting, August 5-8, Vancouver, Canada 270920, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association).
  • Handle: RePEc:ags:aaea90:270920
    DOI: 10.22004/ag.econ.270920
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