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Reliability Of Soybean And Corn Option-Based Probability Assessments As Option Markets Mature

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  • Silva, Elvria
  • Kahl, Kandice

Abstract

The objective of this paper is to determine whether optionbased probability assessments become reliable through time. The reliability of soybean and corn option-based probability assessments is evaluated during 1985-1987 and 1988-1990. Soybean probability assessments become reliable in the later period. Corn probability assessments are reliable in both time periods.

Suggested Citation

  • Silva, Elvria & Kahl, Kandice, 1991. "Reliability Of Soybean And Corn Option-Based Probability Assessments As Option Markets Mature," 1991 Annual Meeting, August 4-7, Manhattan, Kansas 271196, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association).
    • Handle: RePEc:ags:aaea91:271196
    DOI: 10.22004/ag.econ.271196
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    References listed on IDEAS

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    1. Curtis, Charles E., Jr. & Carriker, Gordon L., 1988. "Estimating Implied Volatility Directly from "Nearest-to-the-Money" Commodity Option Premiums," Working Papers 116875, Clemson University, Department of Agricultural and Applied Economics.
    2. Bruce L. Gardner, 1977. "Commodity Options for Agriculture," American Journal of Agricultural Economics, Agricultural and Applied Economics Association, vol. 59(5), pages 986-992.
    3. Black, Fischer, 1976. "The pricing of commodity contracts," Journal of Financial Economics, Elsevier, vol. 3(1-2), pages 167-179.
    4. Paul L. Fackler & Robert P. King, 1990. "Calibration of Option-Based Probability Assessments in Agricultural Commodity Markets," American Journal of Agricultural Economics, Agricultural and Applied Economics Association, vol. 72(1), pages 73-83.
    5. Dusak, Katherine, 1973. "Futures Trading and Investor Returns: An Investigation of Commodity Market Risk Premiums," Journal of Political Economy, University of Chicago Press, vol. 81(6), pages 1387-1406, Nov.-Dec..
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    Keywords

    Crop Production/Industries; Marketing;

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