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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Mots clés AGROVOC

agricultural prices forecasting futures trading prices probability analysis

Informations bibliographiques

Publié dans

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

Editeur

Dept. of Agricultural and Applied Economics, University of Minnesota

D'autres materias

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

Langue

anglais

Note

by Robert P. King and Paul L. Fackler.

Includes bibliographical references (page 14).

Type

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

Auteur institutionnelle

University of Minnesota. Department of Agricultural and Applied Economics.

Sur AGRIS depuis: 2024-02-27

Format: MODS

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Probabilistic price forecasts based on commodity option values

1985

Mots clés AGROVOC

Informations bibliographiques