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2006-05-05
英文文献:The Calibration Of Expected Soybean Price Distributions: An Option Based Approach
英文文献作者:Sherrick, Bruce J.,Forster, D. Lynn,Irwin, Scott H.
英文文献摘要:
No-arbitrage option pricing models are used to recover complete probabilistic descriptions of expected soybean futures prices. The usefulness of the approach is examined via calibration tests. Results indicate that the estimated distributions are fairly reliable and that a three-parameter Burr distribution is useful in characterizing expected prices.
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