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Was there a peso problem in cattle options?: Evidence from the 2003 bovine spongiform encephalopathy announcement

Thomsen, Michael; McKenzie, Andrew M.; Power, Gabriel J. - In: Agricultural Finance Review 73 (2013), pp. 526-538

Purpose – Pricing densities implied from options on live cattle futures show a persistent and negative skew. The purpose is to examine whether the skew can be explained, in part, by peso-type problems. Design/methodology/approach –Two announcements of bovine spongiform encephalopathy (BSE)...

Persistent link: https://www.econbiz.de/10010797629

Volatility Surface and Skewness in Live Cattle Futures Price Distributions with Application to North American BSE Announcements

Thomsen, Michael R.; McKenzie, Andrew M.; Power, Gabriel J. - Agricultural and Applied Economics Association - AAEA - 2009

Persistent link: https://www.econbiz.de/10005012540

The Effect of Food Scares on Risk Aversion: Implied Estimates from BSE Shocks on Cattle Futures Options (PowerPoint)

Power, Gabriel J.; Thomsen, Michael R.; McKenzie, Andrew M. - Southern Association of Agricultural Experiment Station … - 2009

Persistent link: https://www.econbiz.de/10005503809

Was there a peso problem in cattle options? : evidence from the 2003 bovine spongiform encephalopathy announcement

Thomsen, Michael; McKenzie, Andrew M.; Power, Gabriel J. - In: Agricultural finance review 73 (2013) 3, pp. 526-538

Persistent link: https://www.econbiz.de/10010361574