Time-Varying Deterministic Volatility Model for Options on Wheat Futures
This study introduces a robust model that captures wheat futures’ volatility dynamics, influenced by seasonality, time to maturity, and storage dynamics, with minimal calibratable parameters. Our approach reduces error-proneness and enhances plausibility checks, offering a reliable alternative to mo...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
MDPI AG
2024-08-01
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| Series: | Commodities |
| Subjects: | |
| Online Access: | https://www.mdpi.com/2813-2432/3/3/19 |