Ji, Dasheng; Wade Brorsen, B. - In: Agricultural Finance Review 69 (2009) 3, pp. 268-283
Purpose – The purpose of this paper is to develop an option pricing model applicable to US options. The lognormality … model is then used to determine skewness and kurtosis of distributions of futures prices implied from option prices. Design …/methodology/approach – The relaxed lattice is based on Gaussian quadrature. The markets studied include corn, soybeans, and wheat. Skewness and …