MIXTURE DISTRIBUTIONS: CURING COMMODITY KURTOSIS?

Recent research has determined that commodity prices often exhibit distributional characteristics inconsistent with normality or log-normality. We utilize discrete mixtures of log-normals in a GARCH framework to model corn, wheat, and soybean prices. Options premiums are simulated and compared to actual premiums and premiums generated under standard Black-Scholes assumptions.


Issue Date:
1999
Publication Type:
Conference Paper/ Presentation
PURL Identifier:
http://purl.umn.edu/21604
Total Pages:
9
Series Statement:
Selected Paper




 Record created 2017-04-01, last modified 2017-08-24

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