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An Investigation Of Pricing Models For Live Cattle Futures Options

Author

Listed:
  • Pelly, Robert A.
  • Irwin, Scott H.
  • Zulauf, Carl R.

Abstract

Black's European model predicts premiums of live cattle futures options as accurately as Barone-Adesi and Whaley's American model. Implied volatility estimators generate more accurate forecasts of actual option premia than historical volatility. Bias regression results are consistent with accuracy tests. Only implied volatility-based models exhibit market timing .ability.

Suggested Citation

  • Pelly, Robert A. & Irwin, Scott H. & Zulauf, Carl R., 1991. "An Investigation Of Pricing Models For Live Cattle Futures Options," 1991 Annual Meeting, August 4-7, Manhattan, Kansas 271202, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association).
    • Handle: RePEc:ags:aaea91:271202
    DOI: 10.22004/ag.econ.271202
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    References listed on IDEAS

    as
    1. Barone-Adesi, Giovanni & Whaley, Robert E, 1987. "Efficient Analytic Approximation of American Option Values," Journal of Finance, American Finance Association, vol. 42(2), pages 301-320, June.
    2. Bookstaber, Richard M, 1981. "Observed Option Mispricing and the Nonsimultaneity of Stock and Option Quotations," The Journal of Business, University of Chicago Press, vol. 54(1), pages 141-155, January.
    3. Shastri, Kuldeep & Tandon, Kishore, 1986. "An Empirical Test of a Valuation Model for American Options on Futures Contracts," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 21(4), pages 377-392, December.
    4. repec:bla:jfinan:v:44:y:1989:i:5:p:1177-89 is not listed on IDEAS
    5. Whaley, Robert E, 1986. "Valuation of American Futures Options: Theory and Empirical Tests," Journal of Finance, American Finance Association, vol. 41(1), pages 127-150, March.
    6. Black, Fischer, 1976. "The pricing of commodity contracts," Journal of Financial Economics, Elsevier, vol. 3(1-2), pages 167-179.
    Full references (including those not matched with items on IDEAS)

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