Given the quote price of a call or put option, the Black-Scholes implied volatility is the unique volatility parameter to be put into Black-Scholes formula to give the same price as the option quote price. This dissertation is concerned with the link between the implied volatility and the actual volatility of the underlying stock. Such a link is of particular practical interest since it relates...

We provide the first comprehensive characterization and comparison of implied volatility functions for five major agricultural options markets—corn, soybeans, soft red winter wheat, live cattle, feeder cattle—using intraday tick data. Our results show that cattle markets exhibit a distinct leftward skew, which is puzzling indicates out-of-the-money traded put are theoretically overpriced. In co...