This paper investigates the information content of futures option prices when the futures price is regulated while the futures option price itself is not. The New York Board of Trade provides the empirical setting for this type of dichotomy in regulation. Most commodity derivatives markets...

This paper analyzes the random walk behaviour of futures prices when the exchange regulated by price limits. Using a model analogous to exchange rate target zone models, the study tests for the existence of a nonlinear S-shape relation between observed and theoretical futures prices. This...

This article analyzes the behavior of futures prices when the exchange is regulated by price limits. With a model analogous to exchange‐rate target‐zone models, we tested for the existence of a nonlinear S‐shape relation between observed and theoretical futures prices. This phenomenon...

This study investigates the information content of futures option prices when the underlying futures price is regulated and the futures option price is not. The New York Board of Trade (NYBOT) provides the empirical setting for this regulatory mismatch. Many commodity derivatives markets...