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Thesis - University Access Only
Master of Science (MS)
Prices of many commodities, including wheat, exhibit stochastic patterns in volatility. This thesis examines the effects of seasonality and stochastic volatility on the pricing performance in the Chicago and Kansas City wheat options markets. This study uses a seasonal stochastic volatility model consistent with the Samuelson Hypothesis. The model parameters were estimated using panel data comprised of daily prices of settled wheat futures and American-style options written on these futures contracts that are traded at the Chicago Board of Trade (CBOT) and Kansas City Board of Trade (KBOT). The seasonal stochastic volatility (SSV) model is compared with the benchmark Black’s (1976) model to examine the effects of seasonality and stochastic volatility on the pricing performance of the wheat options. The results demonstrate that incorporating seasonality, the Samuelson’s Hypothesis, and stochastic volatility significantly improves the pricing accuracy and hedging performance of wheat options in the two markets.
Library of Congress Subject Headings
Includes bibliographical references (pages 61-64)
Number of Pages
South Dakota State University
In Copyright - Educational Use Permitted
Osei, Michael Jamel, "Seasonality and Stochastic Volatility in the Wheat Options" (2013). Electronic Theses and Dissertations. 1614.