This paper develops a pricing model and empirically tests the pricing efficiency of options on the U.S. Dollar Index (USDX) futures contract. Empirical tests of the model indicate that the market consistently overprices these options relative to the derived model. This overpricing is more...

The recent financial crisis provides an opportunity to examine flight-to-safety in response to various levels of market uncertainty. This study is the first to examine the degree of market uncertainty as measured by the CBOE volatility index (VIX). Findings suggest that large increases in the...