Egelkraut, Thorsten M.; Garcia, Philip; Sherrick, Bruce J. - NCR-134 Conference on Applied Commodity Price Analysis, … - 2003
Options with different maturities can be used to generate volatility estimates for non-overlapping future time intervals. This paper develops the term structure of volatility implied by corn futures options, and evaluates the informational content of the implied forward volatility as a predictor...