Psychological barriers are prevalent among various asset classes, and it is important to consider their impact on the prices of derivative securities. This paper demonstrates the potential existence of such barriers on the S&P 500 Index and examines their impact on this index's rate of return...

The Internet Appendix consists of three sections. Section A shows data sources and detailed data processing procedures. In Section B, we outline seven forecasting models. Last, Section C represents the empirical results

This paper explores the possibility of the potential usage of machine learning models in the field of realized volatility forecasting of crude oil with a vast variety of empirical analyses and robustness checks. Although the conventional heterogeneous autoregressive (HAR) model is widely...

This paper explores the possibility of the potential usage of machine learning models in the field of realized volatility forecasting of crude oil with a vast variety of empirical analyses and robustness checks. Although the conventional heterogeneous autoregressive (HAR) model is widely...

We develop a lattice method for pricing lookback options in a regime-switching market environment. We assume the market is governed by a two-state Markov chain and stock volatility can change whenever the market environment changes. We develop a method which resolves the bias in the binomial...

We present an approach for pricing American put options with a regime-switching volatility. Our method reveals that the option price can be expressed as the sum of two components: the price of a European put option and the premium associated with the early exercise privilege. Our analysis...