In this article, we examine performance persistence and the implied volatility smile of the commodity options contracts. We examine contracts of wheat, corn, live cattle, soybean oil, and lean hog. Hedge funds use options and futures in terms of commodities to hedge market risk. We compare the...

In this article, we have tested the volatility of the returns of the 3 – month AstraZeneca call option contract for changing conditional variances. Threshold generalized autoregressive conditional heteroskedastic models, (TGARCH), exponential generalized autoregressive conditional...

We analyze the implied volatility smile of a lognormal distribution on a 3 – month Lundbeck call option contract using the Brownian motion. There is significant time variation in the implied volatility smile and the traditional Black – Scholes model can not explain this deviation. The Black...

We analyze the implied volatility smile of a lognormal distribution on a on a 6 – month EUR/USD call currency option contract using the ratio of strike and share price. There is significant time variation in the implied volatility smile and the traditional Black – Scholes model can not...

We analyze the implied volatility smile of a lognormal distribution on a on a 6 – month EUR/USD call currency option contract using a random standard normal variable. There is significant time variation in the implied volatility smile and the traditional Black – Scholes model can not explain...

We analyze the implied volatility smile of a lognormal distribution on a 3 – month Danske bank call option contract using the option delta. There is significant time variation in the implied volatility smile and the traditional Black – Scholes model can not explain this deviation. The Black...

Autoregressive Conditional Heteroskedastic models (ARCH), and Generalized Autoregressive Conditional Heteroskedastic models, (GARCH) take into account the non-linearity that arises in the financial time series. Well known anomalies such as the calendar effects, January effect and seasonality's...

In this article, we have tested the volatility of the returns of the spot exchange rate of GBP/USD for changing conditional variances. Generalized autoregressive conditional heteroskedastic models, GARCH, threshold generalized autoregressive conditional heteroskedastic models, (TGARCH), and...

In this article, we have tested the volatility of the returns of the spot exchange rate of AUD/USD for changing conditional variances by using a log likelihood model. Generalized autoregressive conditional heteroskedastic models, (GARCH) with t-distributed errors, and exponential generalized...