Koekebakker, Steen; Lien, Gudbrand D. - European Association of Agricultural Economists - EAAE - 2002
Empirical evidence suggests that agricultural futures price movements have fat-tailed distributions and exhibit sudden … and unexpected price jumps. There is also evidence that the volatility of futures prices contains a term structure … including both seasonal and maturity effects in volatility. An in-sample fit to market option prices on wheat futures shows that …