Nonstationarity Of Soybean Futures Price Distributions: Option-Based Evidence

是 否 +2 论坛币

k人 参与回答

经管之家送您一份

应届毕业生专属福利!

求职就业群

赵安豆老师微信：zhaoandou666

经管之家联合CDA

送您一个全额奖学金名额~ !

立即领取

感谢您参与论坛问题回答

经管之家送您两个论坛币！

+2 论坛币

英文文献：Nonstationarity Of Soybean Futures Price Distributions: Option-Based Evidence
英文文献作者：Sherrick, Bruce J.,Irwin, Scott H.,Forster, D. Lynn
英文文献摘要：
No-Arbitrage option pricing models are used to estimate ex ante soybean futures price distributions. Volatility measures of these distributions are modeled in an endogenous-switchpoint regression as functions of price level and time-to-maturity. Results indicate volatility measures are not stationary, and exhibit regime dependent influences of time-to-maturity and price level.

扫码加我 拉你入群

请注明：姓名-公司-职位

以便审核进群资格，未注明则拒绝

分享0 收藏0 回帖