The purpose of this paper is to investigate the relationship between US and Canadian wheat futures prices in order to analyse the degree of information spillover between the futures exchanges of both countries. Although considerable research has focused on the relationship between US and...

The Black-Scholes (1973) option pricing model (BSOPM) rests on the assumption that the variance of stock returns is deterministic. However, if stock return volatility is a stochastic process, then the present form of commonly used option pricing models is misspecified and arbitrage-based...