We investigate the cross-market differential relations of U.S. stock market uncertainty (VIX) with U.S. and European stock market returns before and during the European equity market crisis. Also, we examine whether VIX has predictive ability with respect to short-run European stock market...

This article examines the interrelations between future volatility of the U.S. dollar/British pound exchange rate and trading volume of currency options for the British pound. The future volatility of the exchange rate is approximated alternatively by implied volatility and by IGARCH volatility....

A simultaneous equation model is used to estimate export demand and supply functions for US soybeans. Price, income, exchange rate and other effects on exports to four world regions are estimated. Inclusion of export supply relationships have very significant implications for estimated price‐,...

In this paper we provide a closed form option pricing model with underlying uncertainty modeled as an exponential Lévy process. The stochastic structure of our model relaxes the restrictive assumption of zero covariance between the Brownian motion and Poisson process jump size found in all...

We find that Federal Open Market Committee (FOMC) actions (especially rate cuts) narrowed corporate credit spreads during the pre-crisis period of 2002-2007. During the 2008 crisis period, we find that both conventional cuts and quantitative easing decreased spreads. But FOMC inactions caused...

This paper extends the jump-diffusion option pricing model of Merton (1976) and the displaced diffusion option pricing model of Rubinstein (1983) to price options on stock indices. First, we provide a theory showing that the stock index value has a positive threshold or positive lower bound if...

This article presents a pure exchange economy that extends Rubinstein (1976) to show how the jump-diffusion option pricing model of Merton (1976) is altered when jumps are correlated with diffusive risks. All correlations are statistically different from zero. In equilibrium, the equity risk...