The University of Michigan, and The University of Michigan and University of California-Los Angeles, respectively. We thank Fischer Black, Bradford Cornell, David Emanuel, Ronald Masulis, Mark Rubinstein, and an anonymous referee for helpful comments, and Thomas Thompson of the Chicago Board of Trade for useful discussions. Navin Chopra provided research assistance. Remote Computing Division of Hale Systems, Inc., supplied the data. This work was partially supported by research grants from the Graduate School of Business Administration at The University of Michigan and the Center for the Study of Futures Markets at Columbia University. Any remaining errors are the authors' responsibility.
Futures Options and the Volatility of Futures Prices
Article first published online: 30 APR 2012
1986 The American Finance Association
The Journal of Finance
Volume 41, Issue 4, pages 857–870, September 1986
How to Cite
BALL, C. A. and TOROUS, W. N. (1986), Futures Options and the Volatility of Futures Prices. The Journal of Finance, 41: 857–870. doi: 10.1111/j.1540-6261.1986.tb04553.x
- Issue published online: 30 APR 2012
- Article first published online: 30 APR 2012
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