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The impact of embedded location options on price discovery of agricultural futures contracts – the evidence from the Chana contract

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Sanjay Mansabdar, Hussain C. Yaganti, Sankarshan Basu
Journal: Journal of Indian Business Research
Journal of Indian Business Research (2022) 14 (3): 301–318.
https://doi.org/10.1108/JIBR-03-2021-0112
Published: 14 January 2022
... of embedded options can cause significant errors in price discovery assessment of agricultural futures contracts, particularly in heterogenous cash markets. Cointegration Monte-Carlo simulation Price discovery Error correction Delivery options Information share Indian commodity markets...
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