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A note on volatility and pricing of futures options during choppy markets

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  • Robert I. Webb

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  • Robert I. Webb, 1987. "A note on volatility and pricing of futures options during choppy markets," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 7(3), pages 333-337, June.
    • Handle: RePEc:wly:jfutmk:v:7:y:1987:i:3:p:333-337
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    Cited by:

    1. Donald Lien & Hsiang‐Tai Lee & Her‐Jiun Sheu, 2018. "Hedging systematic risk in the commodity market with a regime‐switching multivariate rotated generalized autoregressive conditional heteroskedasticity model," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 38(12), pages 1514-1532, December.

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