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 …

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 …

The illiquidity of long-maturity options has made it difficult to study the term structures of option spanning …

, and products, including variance swaps, straddles, and VIX futures. In addition, the paper derives a closed …-form relationship between the prices of variance swaps and VIX futures. While tightly linked, VIX futures exhibit deviations of varying … and their relationship to VIX futures' return predictability. …

and momentum strategies in futures markets across asset classes. We construct optimal carry and momentum portfolios from … that the predictability of expected returns in futures markets reflects the scarcity of speculative capital and is …

hedging errors. In the empirical application, we synthesize the prices of the variance contract on S&P 500 index over the …