Publications
NIBIOs employees contribute to several hundred scientific articles and research reports every year. You can browse or search in our collection which contains references and links to these publications as well as other research and dissemination activities. The collection is continously updated with new and historical material.
2001
Forfattere
Steen Koekebakker Gudbrand LienSammendrag
Empirical evidence suggests that agricultural futures price movements have fat-tailed distributions and exhibit sudden and un xpected price jumps. There is also evidence that the volatility of futures prices contains a term structure depending on both calendar-time and time to maturity. This paper extends Bates (1991) jump-diffusion option pricing model by including both seas nal and maturity effects in volatility. An in-sample fit to market option prices on wheat futures show that our model outperforms previous models considered in the literature. A numerical example illustrates the economic significance of our results for option valuation.
Sammendrag
No abstract has been registered
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No abstract has been registered
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No abstract has been registered
Forfattere
Svein Ole BorgenSammendrag
No abstract has been registered
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Monica Alterskjær Sundset Tove Aagnes Utsi Rolf Rødven Svein Dish MathiesenSammendrag
http://septentrio.uit.no/index.php/rangifer/article/view/1540/1446
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No abstract has been registered
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David L. Jones Toril Drabløs Eldhuset Helen Agnes de Wit Berit SwensenSammendrag
No abstract has been registered
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Anders Göransson Toril Drabløs EldhusetSammendrag
No abstract has been registered