Prior research uses the basic one-period European call-option pricing model to compute default measures for individual firms and concludes that both the size and book-to-market effects are related to default risk. For example, small firms earn higher return than big firms only if they have...

This paper tests whether the traditional futures hedge ratio (hT) and the carry cost rate futures hedge ratio (hc) vary in accordance with the Sercu and Wu (2000) and Leistikow et al. (2019) "hc" theory. It does so, both within and across high and low spot asset carry cost rate (c) regimes. The...

In this paper, we evaluate American-style, path-dependent derivatives with an artificial intelligence technique. Specifically, we use swarm intelligence to find the optimal exercise boundary for an American-style derivative. Swarm intelligence is particularly efficient (regarding computation and...

As the energy market has grown in importance in recent decades, researchers have paid increasing attention to swing option contracts. Early studies evaluated the swing contract as if it were a financial derivative contract, by ignoring its storage constraints. Aided by recent advances in...