support is derived for the spot rate return. The model permits the arbitrage free valuation of bond options and interest rate … options and produces dynamic portfolio strategies to duplicate these contracts. …

commodity-exporting countries. We show that the introduction of hedging instruments such as futures and options enhances …This paper uses a dynamic optimization model to estimate the welfare gains of hedging against commodity price risk for …

empirically show that indeed portfolios of long Treasuries and short traded put options ("pseudo bonds") closely match the …

-style options. We introduce a skewed version of the Student-t distribution, whose main advantage is that its shape depends on only … to compare different distributions and use the parameters as inputs to price other options. We explain the method … provides a better fit to market prices of options than the Shimko or implied tree models, and has a lower computation time than …

lower price errors in the underlying. The more popular options are, the more quickly information is incorporated in the …

including global equities, global bonds, commodities, US Treasuries, credit, and options. This predictability rejects a …

literature suggests that even in the absence of any ability to predict returns, holding options positions on the benchmark assets …. The enhancement from holding options can be substantial if the implied volatilities of the options are higher than the …