The basic assumption of the Black-Scholes option pricing is that volatility is constant over the time to maturity of the option. We consider how the estimation of volatility is affected by the time to maturity. In particular, we consider the empirical distribution of volatility as a function of...

Investment in agribusiness assets has grown significantly in recent years. The question of interest is whether including agribusiness assets in investment portfolios provide benefits. The effects of diversification by including agribusiness assets in two investment portfolios, a mixed asset...

Empirical tests of option pricing models are joint tests of the 'correctness' of the model, the efficiency of the market and the simultaneity of price observations. Some degree of nonsimultaeity can be expected in all but the most liquid markets and is therefore evident in many non-US markets....