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Keywords: Improved black model
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Journal Articles
Journal of Agribusiness in Developing and Emerging Economies (2026) 16 (2): 440–455.
Published: 23 December 2024
... from the futures market. Design/methodology/approach With weekly settlement price of January corn futures from the second week of January 2009 to the fourth week of April 2020 in China, we assume that corn futures price follows fractional Brownian motion, and apply an improved Black model...

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