Browse OFOR Working Paper Series by Subject "Monte Carlo simulations"

  • Poteshman, Allen M. (Office for Futures and Options Research, Department of Agricultural Economics, College of Agricultural, Consumer, and Environmental Sciences at the University of Illinois at Urbana-Champaign, 2000-09)
    Although it is widely believed that option prices provide the best possible forecasts of the future variance of the assets which underlie them, a large body of empirical evidence concludes that option prices consistently ...


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