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The impact of embedded location options on price discovery of agricultural futures contracts : the evidence from the Chana contract
Mansabdar, Sanjay; Yaganti, Hussain C.; Basu, Sankarshan - In: Journal of Indian business research 14 (2022) 3, pp. 301-318
Persistent link: https://www.econbiz.de/10013288116
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Volatility discovery : can the CDS market beat the equity options market?
Forte, Santiago; Lovreta, Lidija - In: Finance research letters 28 (2019), pp. 107-111
Persistent link: https://www.econbiz.de/10012388022
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Which traders contribute most to price discovery? : evidence from the KOSPI 200 options market
Kang, Hankil; Kang, Jangkoo; Lee, Soonhee - In: Emerging markets finance & trade : a journal of the … 52 (2016) 10/12, pp. 2335-2347
Persistent link: https://www.econbiz.de/10011672513
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The role of credit constraints and government subsidies in farmland valuations in the US : an options pricing model approach
Mishra, Ashok K.; Moss, Charles B.; Erickson, Kenneth W. - In: Empirical economics : a journal of the Institute for … 34 (2008) 2, pp. 285-297
Persistent link: https://www.econbiz.de/10003674879
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Long memory and the relation between implied and realized volatility
Bandi, Federico M.; Perron, Benoit - In: Journal of financial econometrics : official journal of … 4 (2006) 4, pp. 636-670
Persistent link: https://www.econbiz.de/10003565756
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Commodity derivatives pricing with cointegration and stochastic covariances
Chiu, Mei Choi; Wong, Hoi Ying; Zhao, Jing - In: European journal of operational research : EJOR 246 (2015) 2, pp. 476-486
Persistent link: https://www.econbiz.de/10011338124
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Long memory and volatility behaviour in Paris option market
Souissi, Nessim; Aloulou, Abderrahmen - In: International journal of bonds and derivatives 1 (2015) 4, pp. 273-283
Persistent link: https://www.econbiz.de/10011546734
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Co-integration between electricity supply and economic growth in South Africa
Khobai, Hlalefang; Abel, Sanderson; Le Roux, Pierre - In: International Journal of Energy Economics and Policy : IJEEP 6 (2016) 3, pp. 637-645
Persistent link: https://www.econbiz.de/10011550592
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A two-factor cointegrated commodity price model with an application to spread option pricing
Farkas, Walter; Gourier, Elise; Huitema, Robert; … - 2016 - This version: May 20, 2016
In this paper, we propose an easy-to-use yet comprehensive model for a system of cointegrated commodity prices. While retaining the exponential affine structure of previous approaches, our model allows for an arbitrary number of cointegration relationships. We show that the cointegration...
Persistent link: https://www.econbiz.de/10011507774
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An empirical model comparison for valuing crack spread options
Mahringer, Steffen; Prokopczuk, Marcel - In: Energy economics 51 (2015), pp. 177-187
Persistent link: https://www.econbiz.de/10011564825