Calibration of option-based probability assessments in agricultural commodity markets

Paul L. Fackler, Robert P. King

Research output: Contribution to journalArticlepeer-review

50 Scopus citations

Abstract

A method for evaluating the reliability of option-based price probability assessments is developed based on the calibration concept. Empirical tests using goodness-of-fit criteria are applied to four agricultural commodities. Results suggest that assessments in the corn and live cattle markets are reliable, but such assessments overstate the volatility of soybean prices and understate the location of hog prices.

Original languageEnglish (US)
Pages (from-to)73-83
Number of pages11
JournalAmerican Journal of Agricultural Economics
Volume72
Issue number1
DOIs
StatePublished - Feb 1990

Keywords

  • Calibration
  • Futures
  • Goodness-of-fit
  • Options
  • Probability assessment

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