Empirical examination of the Black–Scholes model: evidence from the United States stock market
Frontiers in Applied Mathematics and StatisticsOption pricing is crucial in enabling investors to hedge against risks. The Black–Scholes option pricing model is widely used for this purpose. This paper investigates whether the Black–Scholes model is a good indicator of option pricing in the United ...
Monsurat Foluke Salami
doaj +1 more source
Unpacking the Farmland Capitalization Effect of Ethanol Establishment
Applied Economic Perspectives and Policy, EarlyView.ABSTRACT We unpack the impact of expansions in ethanol production—as measured by proximity to newly constructed ethanol plants and capacity expansions—on farmland values using land transaction data from Kansas in combination with modern causal inference techniques.
Gabriel S. Sampson, Jisang Yu
wiley +1 more source
Generalised Geometric Brownian Motion: Theory and Applications to Option Pricing. [PDF]
Entropy (Basel), 2020 Stojkoski V +4 more
europepmc +1 more source
Crop Insurance Design and On‐Farm Risk Adaptation
Applied Economic Perspectives and Policy, EarlyView.ABSTRACT The United States spends billions annually on crop insurance premium subsidies, yet the prevailing distance‐based guarantee design unintentionally rewards risk‐taking by linking subsidies to yield variability. We consider a simple redesign: define guarantees in terms of probability so that coverage reflects a consistent likelihood of indemnity.
Gerald Van Tassell, Alan P. Ker
wiley +1 more source
Risk-Neutrality of RND and Option Pricing within an Entropy Framework. [PDF]
Entropy (Basel), 2020 Yu X.
europepmc +1 more source
The Cost of a Nutritious Diet in Cafeterias: Evidence From US Military Dining Facilities
Applied Economic Perspectives and Policy, EarlyView.ABSTRACT Providing nutritious meals in institutional settings with financial constraints, such as military dining facilities, is challenging. The US Department of War (DoW) and US Department of Agriculture (USDA) collaborated to modernize the Basic Daily Food Allowance (BDFA) using an optimization model that incorporates service members' consumption ...
Linlin Fan +8 more
wiley +1 more source
On the Economics of US Agricultural Policy
Applied Economic Perspectives and Policy, EarlyView.ABSTRACT This paper presents an economic analysis of US agricultural policy, building on a modified version of Gardner's efficient redistribution. We argue that agricultural policy is motivated as an attempt to implement an efficient redistribution scheme that redistributes income toward farmers who, as a group, have been adversely affected by ...
Jean‐Paul Chavas
wiley +1 more source
Option pricing of weather derivatives based on a stochastic daily rainfall model with Analogue Year component. [PDF]
Heliyon, 2020 Berhane T +3 more
europepmc +1 more source
How Video‐Based Information Affects Farmers' Willingness to Pay for Drone Services
Applied Economic Perspectives and Policy, EarlyView.ABSTRACT Professional service for digital technology like agricultural drones lowers transaction costs and scope thresholds for smallholders. Meanwhile, perceptual adoption barriers remain underexplored. We conduct a two‐stage choice experiment with a randomized video‐based information treatment among 384 Chinese crop farmers to measure its effect on ...
Hua Zhang +4 more
wiley +1 more source
Saddlepoint approximations to tail expectations under non-Gaussian base distributions: option pricing applications. [PDF]
J Appl Stat, 2020 Zhang Y, Kuen Kwok Y.
europepmc +1 more source