Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/146615 
Year of Publication: 
2014
Series/Report no.: 
Staff Paper No. SP 2014-02
Publisher: 
Cornell University, Charles H. Dyson School of Applied Economics and Management, Ithaca, NY
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.
Persistent Identifier of the first edition: 
Document Type: 
Working Paper

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