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Do Volatility Smiles Matter for Pricing Asian Basket Options? The Case of Livestock Gross Margin Insurance for Dairy Cattle
By M. Bozic, J. Newton, C.S. Thraen, B.W. Gould Livestock Gross Margin Insurance for Dairy Cattle (LGM-Dairy) is Asian basket option-like insurance tool that enables U.S. dairy producers to protect income-over-feed-costs margins. While LGM-Dairy rating me ...
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Parametric Bootstrap Tests for Futures Price and Implied Volatility Biases with Application to Rating Livestock Margin Insurance for Dairy Cattle
By M. Bozic, J. Newton, C.S. Thraen, B.W. Gould A common approach in the literature, whether the investigation is about futures price risk premiums or biases in option-based implied volatility coefficients, is to use samples in which consecutive observati ...
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