Volatility Models for Commodity Markets
2019
Fackler, Paul L. | Tian, Yanjun
The time structure of volatilty in futures prices and implied volatility implicit in option premia is derived from an underlying model of spot price behavior. The model suggests a number of characteristic features that should be present in observed market prices. These features are found in soybean futures and options on soybean futures.
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Эту запись предоставил University of Minnesota
