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INCREASING THE ACCURACY OF OPTION PRICING BY USING IMPLIED PARAMETERS RELATED TO HIGHER MOMENTS

Ji, Dasheng; Brorsen, B. Wade - NCR-134 Conference on Applied Commodity Price Analysis, … - 2000

The inaccuracy of the Black-Scholes formula arises from two aspects: the formula is for European options while most real option contracts are American; the formula is based on the assumption that underlying asset prices follow a lognormal distribution while in the real world asset prices cannot...

Persistent link: https://www.econbiz.de/10005807877

Transition to electronic trading of Kansas City Board of Trade wheat futures

Shah, Samarth; Brorsen, B. Wade - Southern Agricultural Economics Association - SAEA - 2010

This study compares liquidity costs and other characteristics of electronic and open outcry hard red winter wheat futures contracts traded on the Kansas City Board of Trade. Liquidity costs are considerably lower in the electronic market than in the open outcry market. A new approach is used to...

Persistent link: https://www.econbiz.de/10008922444

Optimal Length of Moving Average to Forecast Futures Basis

Hatchett, Robert B.; Brorsen, B. Wade; Anderson, Kim B. - Department of Agricultural and Consumer Economics, … - 2009

Futures prices when combined with a basis forecast provide a reliable way to forecast cash prices. The most popular method of forecasting basis is historical moving averages. Given the recent failure of longer moving averages proposed by previous studies, this research reassesses past...

Persistent link: https://www.econbiz.de/10009368378

Market Instability in a New Era of Corn, Soybean, and Wheat Prices

Irwin, Scott H.; Good, Darrel L. - In: Choices 24 (2009) 1

Persistent link: https://www.econbiz.de/10008682706

Socially-Responsible Certification Schemes for Smallholder Coffee Farmers: Economics of Giving and Consumer Utility

Verteramo Chiu, Leslie J.; Gómez, Miguel I.; Kaiser, … - Agricultural and Applied Economics Association - AAEA - 2014

We study consumer preferences for socially-responsible certified coffee based on alternative ways to distribute the price premium of the product. We use Becker, DeGroot, and Marschak (BDM) auctions in an experimental setting to elicit consumer willingness to pay for two socially-responsible...

Persistent link: https://www.econbiz.de/10011068670

Evaluating advertising strategies for fruits and vegetables and the implications for obesity in the United States

Liaukonyte, Jura; Rickard, Bradley J.; Kaiser, Harry M.; … - Charles H. Dyson School of Applied Economics and … - 2010

We investigate consumer response to various types of advertising for fruits and vegetables—a food category which health officials uniformly agree is significantly underconsumed in the United States. Using an adult, non-student subject pool of participants in the experiment, consumers’...

Persistent link: https://www.econbiz.de/10011070515

Examining consumer response to commodity-specific and broad-based promotion programs for fruits and vegetables using experimental economics

Rickard, Bradley J.; Liaukonyte, Jura; Kaiser, Harry M.; … - Charles H. Dyson School of Applied Economics and … - 2010

Generic promotion and advertising activities have traditionally been used to promote individual agricultural commodities. However, there is renewed interest in implementing a mandatory ―broad-based‖ promotion program for all fruits and vegetables, and this idea is highly controversial among...

Persistent link: https://www.econbiz.de/10011070532

Measuring the Impacts of Generic Fluid Milk and Dairy Marketing

Kaiser, Harry M.; Dong, Diansheng - Charles H. Dyson School of Applied Economics and … - 2006

marketing activities sponsored by fluid milk processors and dairy farmers have helped mitigate some of this decline. We estimate … that these marketing efforts have had a positive and statistically significant impact on per capita fluid milk consumption …. Specifically, over the 11-year period 1995 through 2005, we estimate that a one-percent increase in generic fluid milk marketing …

Persistent link: https://www.econbiz.de/10011070569

Status Quo Bias and Voluntary Contributions: Can Lab Experiments Parallel Real World Outcomes for Generic Advertising?

Messer, Kent D.; Kaiser, Harry M.; Schulze, William D. - Charles H. Dyson School of Applied Economics and … - 2004

This paper exploits a unique opportunity to test parallelism between the field and laboratory for the Voluntary Contribution Mechanism (VCM). Most commodities in the United States have checkoff programs assessing producers for generic advertising and promotion, a public good for producers....

Persistent link: https://www.econbiz.de/10011070575

Identifying Factors Influencing a Hospitalâ€™s Decision to Adopt a Farm-to-Hospital Program

Smith, Bobby J.; Kaiser, Harry M.; Gómez, Miguel I. - In: Agricultural and Resource Economics Review 42 (2013) 3

Farm-to-hospital (FTH) programs can potentially improve the economy of local communities and preserve the environment. Research on adoption of farm-to-hospital (FTH) programs is extremely limited in the agricultural and applied economics literature. Using data from our 2012 regional FTH program...

Persistent link: https://www.econbiz.de/10011142654