✦ LIBER ✦

Information content of volatilities implied by option premiums in grain futures markets

✍ Scribed by William W. Wilson; Hung-Gay Fung

Publisher: John Wiley and Sons
Year: 1990
Tongue: English
Weight: 907 KB
Volume: 10
Category: Article
ISSN: 0270-7314
DOI: 10.1002/fut.3990100103

No coin nor oath required. For personal study only.

✦ Synopsis

Although the interest rate needs to be forecast, the study by Plato (1985) and others have shown that the interest rate forecast has little impact on the option premium. Therefore, the observed Treasury Bill interest rate is used as the parameter in this study.

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