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It is common to assert, in the literature on commodity derivative markets, that the behavior of futures prices is characterized by the "Samuelson Hypothesis": there is a decreasing pattern of volatilities along the prices curve. Despite some debates about statistical measurements, this...
Persistent link: https://www.econbiz.de/10010790033
choice of their hedging horizon. Moreover, volatility is one of the most important parameters in the pricing of options …
Persistent link: https://www.econbiz.de/10011099443