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The Evaluation of Probability Distributions with Special Emphasis on Price Distributions Derived from Option Premiums

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  • Fackler, Paul L.
  • King, Robert P.

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  • Fackler, Paul L. & King, Robert P., 1987. "The Evaluation of Probability Distributions with Special Emphasis on Price Distributions Derived from Option Premiums," Regional Research Projects > 1987: S-180 Annual Meeting, March 22-25, 1987, San Antonio, Texas 272343, Regional Research Projects > S-180: An Economic Analysis of Risk Management Strategies for Agricultural Production Firms.
    • Handle: RePEc:ags:rrsr87:272343
    DOI: 10.22004/ag.econ.272343
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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. Breeden, Douglas T & Litzenberger, Robert H, 1978. "Prices of State-contingent Claims Implicit in Option Prices," The Journal of Business, University of Chicago Press, vol. 51(4), pages 621-651, October.
    4. Black, Fischer & Scholes, Myron S, 1972. "The Valuation of Option Contracts and a Test of Market Efficiency," Journal of Finance, American Finance Association, vol. 27(2), pages 399-417, May.
    5. James B. McDonald, 2008. "Some Generalized Functions for the Size Distribution of Income," Economic Studies in Inequality, Social Exclusion, and Well-Being, in: Duangkamon Chotikapanich (ed.), Modeling Income Distributions and Lorenz Curves, chapter 3, pages 37-55, Springer.
    6. 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.
    7. Norris, Patricia E. & Kramer, Randall A., 1990. "The Elicitation of Subjective Probabilities with Applications in Agricultural Economics," Review of Marketing and Agricultural Economics, Australian Agricultural and Resource Economics Society, vol. 58(02-03), pages 1-21, December.
    8. Green, Richard C & Srivastava, Sanjay, 1985. "Risk Aversion and Arbitrage," Journal of Finance, American Finance Association, vol. 40(1), pages 257-268, March.
    9. Beckers, Stan, 1981. "Standard deviations implied in option prices as predictors of future stock price variability," Journal of Banking & Finance, Elsevier, vol. 5(3), pages 363-381, September.
    10. Garman, Mark B., 1976. "An algebra for evaluating hedge portfolios," Journal of Financial Economics, Elsevier, vol. 3(4), pages 403-427, October.
    11. Bruce L. Gardner, 1977. "Commodity Options for Agriculture," American Journal of Agricultural Economics, Agricultural and Applied Economics Association, vol. 59(5), pages 986-992.
    12. Rulon D. Pope & Rod F. Ziemer, 1984. "Stochastic Efficiency, Normality, and Sampling Errors in Agricultural Risk Analysis," American Journal of Agricultural Economics, Agricultural and Applied Economics Association, vol. 66(1), pages 31-40.
    13. Black, Fischer, 1976. "The pricing of commodity contracts," Journal of Financial Economics, Elsevier, vol. 3(1-2), pages 167-179.
    14. Latane, Henry A & Rendleman, Richard J, Jr, 1976. "Standard Deviations of Stock Price Ratios Implied in Option Prices," Journal of Finance, American Finance Association, vol. 31(2), pages 369-381, May.
    15. Chiras, Donald P. & Manaster, Steven, 1978. "The information content of option prices and a test of market efficiency," Journal of Financial Economics, Elsevier, vol. 6(2-3), pages 213-234.
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    Cited by:

    1. Atwood, Joseph A., 1987. "The Evaluation Of Probability Distributions With Special Emphasis On Price Distribution Derived From Option Premiums: A Discussion," Regional Research Projects > 1987: S-180 Annual Meeting, March 22-25, 1987, San Antonio, Texas 272344, Regional Research Projects > S-180: An Economic Analysis of Risk Management Strategies for Agricultural Production Firms.

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