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Characterizing implied volatility functions from agricultural options markets

Published:2022-01-19 Issue:5 Volume:104 Page:1605-1624
ISSN:0002-9092
Container-title:American Journal of Agricultural Economics
language:en
Short-container-title:American J Agri Economics

Author:

McKenzie Andrew M.¹,Thomsen Michael R.²,Adjemian Michael K.³

Affiliation:

1. Department of Agricultural Economics and Agribusiness University of Arkansas Fayetteville Arkansas USA

2. Department of Health Policy and Management University of Arkansas for Medical Sciences Little Rock Arkansas USA

3. Department of Agricultural and Applied Economics University of Georgia Athens Georgia USA

Publisher

Wiley

Subject

Economics and Econometrics,Agricultural and Biological Sciences (miscellaneous)

Link

https://onlinelibrary.wiley.com/doi/pdf/10.1111/ajae.12288

Reference44 articles.

1. USDA Announcement Effects in Real‐Time

2. Was the Missing 2013 WASDE Missed?

3. Some determinants of the volatility of futures prices

4. The Effect of H1N1 (Swine Flu) Media Coverage on Agricultural Commodity Markets

5. Seasonality and the valuation of commodity options

Cited by 6 articles. 订阅此论文施引文献订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献

1. Option pricing revisited: The role of price volatility and dynamics;Journal of Commodity Markets;2024-03

2. Risky times: Seasonality and event risk of commodities;Journal of Futures Markets;2024-02-18

3. What do we know about the value and market impact of the US Department of Agriculture reports?;Applied Economic Perspectives and Policy;2023-12-14

4. The pricing of variance risks in agricultural futures markets: do jumps matter?;European Review of Agricultural Economics;2023-07-27

5. Traders’ heterogeneous beliefs about stock volatility and the implied volatility skew in financial options markets;Finance Research Letters;2023-05

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