Souza, Waldemar Antonio da Rocha de; Martines-Filho, … - In: Brazilian Journal of Rural Economy and Sociology (RESR) 51 (2013) 2
The term structure of options with future expiration dates traded at the CME Group is calculated to forecast short and long-term realized volatility and price level of soybean spot prices in Rondonópolis (Mato Grosso State). Extracting the implied volatility with the Black (1976) model for...