futures option pricing methodology based on a multivatiate GARCH model is developed. The empirical results show that a …In this paper, the Heston-Nandi futures option pricing model is applied to Bitcoin futures options. The model prices … symmetric model is a better fit when applied to Bitcoin futures returns, and also produces more accurate option prices compared …

. A state-dependent volatility spillover GARCH hedging strategy is developed to capture the regime switching global equity … volatility spillover effect. Empirical results show that the NFNE futures exhibit superior effectiveness as an instrument for …This article investigates the effectiveness of TAIEX (Taiwan Stock Exchange) futures, Taiwan 50 futures, and nonfinance …