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A relaxed lattice option pricing model: implied skewness and kurtosis
Ji, Dasheng; Brorsen, B. Wade - In: Agricultural Finance Review 69 (2009) November, pp. 268-283
Purpose – The purpose of this paper is to develop an option pricing model applicable to US options. The lognormality … assumption that has typically been imposed with past binomial and trinomial option pricing models is relaxed. The relaxed lattice …
Persistent link: https://www.econbiz.de/10008471790
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Relationships among Prices across Alternative Marketing Arrangements for Fed Cattle and Hogs
Lee, Yoonsuk; Ward, Clement E.; Brorsen, B. Wade - Southern Agricultural Economics Association - SAEA - 2010
Reduced reliance on cash market prices for fed cattle and hogs raise questions about the role of cash prices in price discovery. We use seven years of weekly data from mandatory price reports to determine whether or not cash market prices are cointegrated with other procurement prices and then...
Persistent link: https://www.econbiz.de/10008922567
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ACTUAL FARMER MARKET TIMING
Brorsen, B. Wade; Anderson, Kim B. - NCR-134 Conference on Applied Commodity Price Analysis, … - 2002
the market. Thus, there does not seem to be a great need for producers to hire a market advisor to do their marketing for …
Persistent link: https://www.econbiz.de/10005807438
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CAN STRUCTURAL CHANGE EXPLAIN CHANGES IN RETURNS TO TECHNICAL ANALYSIS?
Kidd, Willis V.; Brorsen, B. Wade - NCR-134 Conference on Applied Commodity Price Analysis, … - 2002
Returns to managed futures funds and Commodity Trading Advisors (CTAs) have decreased dramatically during the last several years. Since these funds overwhelmingly use technical analysis, this research examines futures prices to determine if there is evidence of a structural change in futures...
Persistent link: https://www.econbiz.de/10005807441
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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
option pricing model that allows non-normality. The theoretical basis of the model is Gaussian quadrature and dynamic …
Persistent link: https://www.econbiz.de/10005807877
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Transition to electronic trading of Kansas City Board of Trade wheat futures
Shah, Samarth; Brorsen, B. Wade - Southern Agricultural Economics Association - SAEA - 2010
costs, while a negative relation is found between daily volume and liquidity costs. Round-number pricing is more prevalent …
Persistent link: https://www.econbiz.de/10008922444
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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
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Discussion: Agricultural Commodities and Agribusiness Stocks as Financial Assets
Brorsen, B. Wade - In: Journal of Agricultural and Applied Economics 44 (2012) 03
Nonfarm investors might benefit from diversifying their portfolios by investing in the agricultural sector. Such diversifying investments could include investments in agricultural stocks or long-only futures positions through index funds. The papers in this session investigate the...
Persistent link: https://www.econbiz.de/10010880438
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CASH MARKETING STYLES AND PERFORMANCE PERSISTENCE OF WHEAT PRODUCERS
Cunningham, Lewis T.; Brorsen, B. Wade; Anderson, Kim B. - 2004
paper first measures the extent to which producers display an active or mechanical marketing style using individual farmer … sales. Next, tests of performance persistence are conducted to determine if there is any advantage to an active marketing … style. The results show that southern Oklahoma wheat producers tend to have a mechanical marketing style, while at other …
Persistent link: https://www.econbiz.de/10009442970
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INCREASING THE ACCURACY OF OPTION PRICING BY USING IMPLIED PARAMETERS RELATED TO HIGHER MOMENTS
Ji, Dasheng; Brorsen, B. Wade - 2000
option pricing model that allows non-normality. The theoretical basis of the model is Gaussian quadrature and dynamic …
Persistent link: https://www.econbiz.de/10009443000