Probabilistic price forecasts based on commodity option values

King, Robert P.; Fackler, Paul L.

Probabilistic price forecasts based on commodity option values

1985

King, Robert P. | Fackler, Paul L.

Extract: In this paper we present a new method for deriving information about commodity price distributions from option values. This approach is relatively easy to implement, and it imposes no restrictions on the form of the price distribution. It also yields a straightforward statistical test that can be used to evaluate the reliability of the price forecasts it generates.

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Palabras clave de AGROVOC

agricultural prices forecasting futures trading prices probability analysis

Información bibliográfica

Publicado en

Staff paper (University of Minnesota. Department of Agricultural and Applied Economics)

Editorial

Dept. of Agricultural and Applied Economics, University of Minnesota

Otras materias

Distribution and marketing of agricultural products; Products and commodities; Options trading

Idioma

Inglés

Nota

by Robert P. King and Paul L. Fackler.

Includes bibliographical references (page 14).

Tipo

Monograph; Book; Text; Report; Bibliography; Book; Monograph

Autores corporativos

University of Minnesota. Department of Agricultural and Applied Economics.

En AGRIS desde: 2024-02-27

Formato: MODS

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Probabilistic price forecasts based on commodity option values

1985

Palabras clave de AGROVOC

Información bibliográfica