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Pricing commodity options when the underlying futures price exhibits time-varying volatility.

Journal Title:
American journal of agricultural economics.
Journal Volume/Issue:
Feb 1993. v. 75 (1)
Main Author:
Myers, R.J.
Other Authors:
Hanson, S.D.
Format:
Article
Language:
English
Subjects:
soybeans
futures trading
options trading
market prices
Monte Carlo method
simulation models
Chicago Board of Trade
View in NAL's Catalog:
IND93036092