Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/146615
Authors: 
Lordkipanidze, Nasibrola
Tomek, William G.
Year of Publication: 
2014
Series/Report no.: 
Staff Paper, Cornell University, Charles H. Dyson School of Applied Economics and Management 2014-02
Abstract: 
The empirical evidence in this paper supports the existence of seasonality, time-to-maturity, and long-memory effects in the volatility of prices, but not in the returns themselves, in corn and soybean futures markets. This volatility is modeled as an Orenstein-Ulenbeck process driven by fractional Brownian motion. The inclusion of long-memory stochastic volatility is found to have a significant impact upon the term structure of implied volatilities, and should be able to provide better estimates of in- and out-of-the money optionsĀ“ prices.
Document Type: 
Working Paper

Files in This Item:
File
Size
224.17 kB





Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.