implied volatility models for South African single stock future options and warrants. Furthermore, the pricing premiums … methodology is superior. Inter-bank implied volatility for single stock futures options is compared to implied volatility for … the market makers, amongst themselves, are willing to pay for the same underlying shares with single stock futures options. …

in hedging, including forward contracts, futures, swaps and options. It also introduces the hedging strategies used on …

Options on crude oil futures are the most actively traded commodity options. We develop a class of computationally … efficient discrete-time jump models that allow for closed-form option valuation, and we use crude oil futures and options data … crucial for modeling crude oil futures and futures options, and we find evidence in favor of time-varying jump intensities …