introduction: risk is an essential component in the production and sale of agricultural products. due to the nature of agricultural products, the people who act in this area including farmers and businesspersons encounter unpredictable fluctuations of prices. on the other hand, the firms that process agricultural products also face fluctuation of price of agricultural inputs. given that the can...

In this paper, impacts of day-ahead market pricing on behavior of producers and consumers in option and day-ahead markets and on option pricing are studied. To this end, two comprehensive equilibrium models for joint put option and day-ahead markets under pay-as-bid and uniform pricing in day-ahead market are presented, respectively. Interaction between put option and day-ahead markets, uncerta...

option contracts are one of the most important financial instruments which have been recently considered as a vehicle for management of risks and development of capital market. in iran, the importance of option contracts is increasingly recognized in the capital market. in this article the legal aspects of option contracts will be examined. for this purpose the views of islamic jurists and lawy...

JEL code: G14 In this paper, we examine the impact of market activity on the percentage bid-ask spreads of S&P 100 index options using transaction data. We propose a new market microstructure theory called a derivative hedge theory, in which option market percentage spreads will be inversely related to the option market maker's ability to hedge his positions in the underlying market, as measure...

a r t i c l e i n f o This paper examines the relationship between option trading activity and stock market volatility. Although the option market is uniquely suited for trading on volatility information, there is little analysis on how trading activity in this market is linked to stock price volatility. The bulk of the discussion tends to focus on whether trading activity in the stock market i...

Understanding and measuring determinants of bid-ask spreads is decisive to clarifying the efficiency of the microstructure of any exchange and general market liquidity. This paper examines the market microstructure of a low liquidity, market maker driven option market, the relations to the underlying securities’ market and the challenges of pricing liquidity. Comparing empirical results with pr...