A evaluate the performance of various feedlot marketing strategies. The marketing analysis included corn, feeder cattle, and fed cattle integrated marketing alternatives. A variety of strategies were compared including hedging and put option purchasing as signaled via profit margins or price forecas
An analysis of live cattle option hedging strategies
β Scribed by Ted C. Schroeder; Orlen C. Grunewald; Scott A. Langemeier; Del M. Allen
- Publisher
- John Wiley and Sons
- Year
- 1989
- Tongue
- English
- Weight
- 808 KB
- Volume
- 5
- Category
- Article
- ISSN
- 0742-4477
No coin nor oath required. For personal study only.
π SIMILAR VOLUMES
he volatility implied by options on future contracts is defined as that standard deviation which equates the theoretical Black (1978) option pricing formula to the observed option price. The measure is valuable as an ex ante predictor of futures price variance, and a substantial body of literature h
## Abstract In this article, we study the empirical performance of the GARCH option pricing model relative to the ad hoc BlackβScholes (BS) model of Dumas, Fleming, and Whaley. Specifically, we investigate the empirical performance of the option pricing model based on the exponential GARCH (EGARCH)
Rudd (198s) reported that rheir tests do not lead one to rejezt the hypothesis that closing prices are nprrsentative of option process recorded throughout the day. ## INDEX OFITON PRICING / 451 'While Evnine and Rudd used the average of the bid-ask prices at six times each day, and this study use