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dc.contributor.authorKoekebakker, Steen
dc.contributor.authorLien, Gudbrand
dc.date.accessioned2006-07-13T18:24:29Z
dc.date.available2006-07-13T18:24:29Z
dc.date.issued2003-01
dc.identifier.urihttp://hdl.handle.net/11250/163619
dc.descriptionRevised version published in: American Journal of Agricultural Economics, vol 86, number 4 (November), 2004, 1018-1031.en
dc.description.abstractEmpirical 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.extent321638 bytes
dc.format.mimetypeapplication/pdf
dc.language.isoengen
dc.publisherNorwegian School of Economics and Business Administration. Department of Finance and Management Scienceen
dc.relation.ispartofseriesDiscussion paperen
dc.relation.ispartofseries2001:19en
dc.subjectoption pricingen
dc.subjectfuturesen
dc.subjecttime-dependent volatilityen
dc.subjectjump-diffusionen
dc.subjectagricultural marketsen
dc.titleVolatility and price jumps in agricultural futures prices : evidence from wheat optionsen
dc.typeWorking paperen


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