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Volatility Models for Commodity Markets

Author

Listed:
  • Fackler, Paul L.
  • Tian, Yanjun

Abstract

The time structure of volatilty in futures prices and implied volatility implicit in option premia is derived from an underlying model of spot price behavior. The model suggests a number of characteristic features that should be present in observed market prices. These features are found in soybean futures and options on soybean futures.

Suggested Citation

  • Fackler, Paul L. & Tian, Yanjun, 1999. "Volatility Models for Commodity Markets," 1981-1999 Conference Archive 285755, NCR-134/ NCCC-134 Applied Commodity Price Analysis, Forecasting, and Market Risk Management.
    • Handle: RePEc:ags:nc8191:285755
    DOI: 10.22004/ag.econ.285755
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    References listed on IDEAS

    as
    1. Williams,Jeffrey C. & Wright,Brian D., 2005. "Storage and Commodity Markets," Cambridge Books, Cambridge University Press, number 9780521023399.
    2. Schwartz, Eduardo S, 1997. "The Stochastic Behavior of Commodity Prices: Implications for Valuation and Hedging," Journal of Finance, American Finance Association, vol. 52(3), pages 923-973, July.
    3. Ng, Victor K & Pirrong, Stephen Craig, 1994. "Fundamentals and Volatility: Storage, Spreads, and the Dynamics of Metals Prices," The Journal of Business, University of Chicago Press, vol. 67(2), pages 203-230, April.
    4. Ronald W. Anderson & Jean-Pierre Danthine, 1983. "The Time Pattern of Hedging and the Volatility of Futures Prices," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 50(2), pages 249-266.
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