The pricing of variance risks in agricultural futures markets: do jumps matter?
利用2009至2021年玉米和大豆的期权与期货数据，将方差风险溢价分解为跳跃和扩散成分，发现市场参与者仅为对冲跳跃波动率的意外上升支付溢价，且生长季节不确定性和美国农业部公告是驱动市场对大幅价格跳跃恐惧的关键因素。
Abstract The existence of a negative variance risk premium on agricultural futures contracts suggests that market participants pay to hedge unexpected increases in the volatility of these contracts. In this paper, we decompose the variance risk premium in corn and soybeans markets into jump and diffusive components using options and futures data from 2009 to 2021. We find that market participants on average only pay to hedge unexpected increases in jump volatility but not those in diffusive volatility. Furthermore, growing season uncertainty and the arrival of United States Department of Agriculture (USDA) announcements play important roles in driving the market’s fear of unexpectedly large price jumps.