In this work, I develop a new volatility measure; the volatility implied by price changes in option contracts and their underlyings. I refer to this as implied price change volatility. First, I examine the time series behavior of implied price change volatility and investigate possible moneyness...

The standard theory of the stochastic models used to value financial derivatives contracts involves models whose input parameters are deterministic functions and often constants. Because of the random nature of the changes in the market prices of the financial instruments, the coefficients of...

The executive compensation literature argues that executives generally value stock options at less than market value because of suboptimal ownership and risk aversion. Implicit in this finding is the assumption that executives are, like shareholders, price takers. That is, they have no ability...

In GARCH models, neglecting parameter changes in the conditional volatility process results in biased estimation. The estimated sum of the autoregressive parameters of the conditional volatility converges to one. In Chapter 2, I analyze the effect of changes in the parameters of conditional...

This study is mainly intended to determine quantitatively the economic effects of crawfish imports on the domestic crawfish industry. Inverse demand systems are used to estimate the price and scale flexibility as an indicator for the effects of imports on crawfish domestic price.A variety of...

This dissertation examines corporate use of derivative instruments and multi-period hedging methods. It studies the use of linear (e.g. futures) and nonlinear (e.g. options) derivatives in a sample of 382 U.S. non-financial firms (920 firm-year observations) between 1992 and 1996. It also...