options on the S&P 500 futures expire (pinning) and are pushed away from the cost-of-carry adjusted at-the-money strike price … right before the expiration of options on the S&P 500 index (anti-cross-pinning). These effects are driven by the interplay … (and early exercise) of in-the-money options by individual investors. The associated shift in notional futures value is at …

portfolios with options: application to Nikkei futures and listed options. … cor-relations and volatility spillovers between crude oil and stock index returns, pricing exotic options using the Wang … transform, the rise and fall of S&P500 variance futures, predicting volatility using Markov switching multifractal model …

Partial differential equation, parabolic Black-Scholes type, is used in evaluating equity options, that paying constant … and continue dividends or in evaluate options in which interest rate, volatility and dividend are dependent on time. …

, domestic institutional investors prefer futures, domestic individual investors prefer options, and foreign investors prefer …This paper examines the dynamics of returns and order imbalances across the KOSPI 200 cash, futures and option markets …

This paper uses a dynamic optimization model to quantify the potential welfare gains of hedging against commodity price … risk for commodity-exporting countries. We show that hedging enhances domestic welfare through two channels: first, by …

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 …

which the risk management and hedging needs of investors may be effectively met through the derivative instruments. However …. And yet, more and more companies are using(or being forced to use) futures and derivatives to stay competitive in a fast …

futures contracts. Their hedging demand is met by financial intermediaries who act as speculators, but are constrained in risk … 1980-2006, we show that producers’ hedging demand - proxied by their default risk - forecasts spot prices, futures prices …-taking. Increases (decreases) in producers’ hedging demand (the risk-bearing capacity of speculators) increase the costs of hedging …