A study was carried out to analyze futures markets for tradable rights after a cash market was initiated. Futures markets can play a role in solving environmental problems by making the market for pollution rights (i.e. P2O5 rights) and agro rights (milk rights, sugar rights and P2O5 rights)more...

An empirical examination of the pricing and hedging performance of a stochastic volatility (SV) model with closed form solution (Heston 1993) is provided for options on the Samp;P 500 index in which the unobservable time varying volatility is jointly estimated with the time invariant parameters...

This paper expands and tests the approach of Madan and Milne (1994) for pricing contingent claims as elements of a separable Hilbert space. We specialize the Hilbert space basis to the family of Hermite polynomials and use the model to price options on Eurodollar futures. Restrictions on the...

We study games in which the decision to exercise an option is a signal of private information to outsiders, whose beliefs affect the utility of the decision maker. Signaling incentives distort the timing of exercise, and the direction of distortion depends on whether the decision-maker's utility...

We build an equilibrium model of commodity markets in which speculators are capital constrained, and commodity producers have hedging demands for commodity futures. Increases in producers hedging demand or speculators capital constraints increase hedging costs via price-pressure on futures....

We claim that previously proposed parametric specifications that linearly approximate the term structure of the implied volatility surface (IVS) in option prices fail to capture important information regarding the expectations of market participants. This paper proposes a parametric...

We analyze the order flow of discount certificates, its dependence on the product's age, and the implications for issuer pricing behavior. Based on a unique data set of exchange trades and issuer quotes, we find that investors prefer to buy products that mature in just over 1 year from the...

This study evaluates the impact of earnings on credit risk in the Credit Default Swap (CDS) market using levels, changes, and event study analyses. We find that earnings (cash flows, accruals) of reference firms are negatively and significantly correlated with the level of CDS premia, consistent...

This paper examines the in- and out-of-sample performance of various value-at-risk (VaR) approaches for commodity futures investments: conventional VaR, the Cornish-Fisher (CF) VaR, GARCH-type VaR models, and semi-parametric conditional autoregressive value-at-risk (CAViaR) models, which do not...

This paper uses a model similar to the Boyle-Vorst and Ritchken-Kuo arbitrage-free models for the valuation of options with transaction costs to determine the maximum price to be charged by the financial intermediary writing an option in a non-auction market. Earlier models are extended by...