Thomsen, Michael; M. McKenzie, Andrew; J. Power, Gabriel - In: Agricultural Finance Review 73 (2013) 3, pp. 526-538
Purpose – Pricing densities implied from options on live cattle futures show a persistent and negative skew. The purpose is to examine whether the skew can be explained, in part, by peso-type problems. Design/methodology/approach – Two announcements of bovine spongiform encephalopathy (BSE)...
