dc.contributor.author | Koekebakker, Steen | |
dc.contributor.author | Lien, Gudbrand | |
dc.date.accessioned | 2006-07-13T18:24:29Z | |
dc.date.available | 2006-07-13T18:24:29Z | |
dc.date.issued | 2003-01 | |
dc.identifier.uri | http://hdl.handle.net/11250/163619 | |
dc.description | Revised version published in: American Journal of Agricultural Economics, vol 86, number 4 (November), 2004, 1018-1031. | en |
dc.description.abstract | Empirical evidence suggests that agricultural futures price movements have fat-tailed distributions and exhibit sudden and unexpected price jumps. There is also evidence that the volatility of futures prices contains a term structure depending on both calendar-time and time to maturity. This paper extends Bates (1991) jump-diffusion option pricing model by including both seasonal and maturity effects in volatility. An in-sample fit to market option prices on wheat futures show that our model outperforms previous models considered in the literature. A numerical example illustrates the economic significance of our results for option valuation. | en |
dc.format.extent | 321638 bytes | |
dc.format.mimetype | application/pdf | |
dc.language.iso | eng | en |
dc.publisher | Norwegian School of Economics and Business Administration. Department of Finance and Management Science | en |
dc.relation.ispartofseries | Discussion paper | en |
dc.relation.ispartofseries | 2001:19 | en |
dc.subject | option pricing | en |
dc.subject | futures | en |
dc.subject | time-dependent volatility | en |
dc.subject | jump-diffusion | en |
dc.subject | agricultural markets | en |
dc.title | Volatility and price jumps in agricultural futures prices : evidence from wheat options | en |
dc.type | Working paper | en |