A closed-form pricing solution is proposed for the quality option embedded in Treasury bond futures contracts, under a multi-factor and Gaussian Heath, Jarrow, and Morton (1992) framework. Such an analytical solution can be obtained through a conditioning approximation, in the sense of Curran (1994) and Rogers and Shi (1995), or via a rank 1 approximation, following Brace and Musiela (1994). Mo...

We derive sharp bounds for the prices of VIX futures using the full information of S&P 500 smiles. To that end, we formulate the model-free sub/superreplication of the VIX by trading in the S&P 500 and its vanilla options as well as the forward-starting log-contracts. A dual problem of minimizing/maximizing certain risk-neutral expectations is introduced and shown to yield the same value. The c...

We investigate volatility spillovers from West Texas Intermediate (WTI) crude oil to carbon emission allowance futures, focusing on the period surrounding WTI negative pricing event of April 2020. Results evidence, pre-negative WTI, a doubling directional spillover futures upon global spread COVID-19, with sharp elevation allowances during specific WTI. This extraordinary rise in continued past...

Various authors claim to have found evidence of stochastic long-memory behavior in futures’ contract returns using the Hurst statistic. This paper reexamines futures’ returns for evidence of persistent behavior using a biased-corrected version of the Hurst statistic, a nonparametric spectral test, and a spectral-regression estimate of the longmemory parameter. Results based on these new methods...

oil seeds and crude vegetable oil are the raw materials used in vegetable oil producing industry. vegetable oil producing plants in iran are dependent on importing the material in a way that more than 90 percent of these materials are to be imported. soybean oil seed is the main oil seed utilized in the oil producing plants which is procured through importation from other countries. in the worl...

Abstract The existence of a negative variance risk premium on agricultural futures contracts suggests that market participants pay to hedge unexpected increases in the volatility these contracts. In this paper, we decompose corn and soybeans markets into jump diffusive components using options data from 2009 2021. We find average only but not those volatility. Furthermore, growing season uncert...

This paper studies a high frequency time series of oil futures trading contracts and the affect that publicly announced macroeconomic information in the form of an Oil Inventory announcement given by the Energy Information Association in the US has upon it. Using the time series sampled at a five-minute frequency, it is the intention to detect any impacts to the price of the contracts after the...

We consider optimal trade policy for a large country with private information. We show that the optimal tariff leads to a signaling equilibrium with higher tariffs and lower welfare than under complete information, whereas the optimal import quota replicates the complete information equilibrium and thus is superior to the tariff. We also show that, with the tariff, the country may be better off...