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There are 23390 results for: content related to: The Asymmetric Commodity Inventory Effect on the Optimal Hedge Ratio

  1. Risk Management of Nonstandard Basket Options with Different Underlying Assets

    Journal of Futures Markets

    Volume 33, Issue 4, April 2013, Pages: 299–326, Georges Dionne, Geneviève Gauthier and Nadia Ouertani

    Article first published online : 7 FEB 2012, DOI: 10.1002/fut.21546

  2. A Quasi-Analytical Pricing Model for Arithmetic Asian Options

    Journal of Futures Markets

    Volume 33, Issue 12, December 2013, Pages: 1143–1166, Jianqiang Sun, Langnan Chen and Shiyin Li

    Article first published online : 11 JUL 2012, DOI: 10.1002/fut.21576

  3. Some New Results on When Extra Risk Strictly Increases an Option's Value

    Journal of Futures Markets

    Volume 33, Issue 1, January 2013, Pages: 44–54, James Huang and Deyuan Zhang

    Article first published online : 15 MAR 2012, DOI: 10.1002/fut.21556

  4. Credit Spread Changes and Monetary Policy Surprises: The Evidence from the Fed Funds Futures Market

    Journal of Futures Markets

    Volume 33, Issue 2, February 2013, Pages: 103–128, Xiaoneng Zhu

    Article first published online : 10 FEB 2012, DOI: 10.1002/fut.21544

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    The Volatility Behavior and Dependence Structure of Commodity Futures and Stocks

    Journal of Futures Markets

    Volume 34, Issue 1, January 2014, Pages: 93–101, Lin Gao and Lu Liu

    Article first published online : 7 NOV 2012, DOI: 10.1002/fut.21587

  6. The Term Structure of VIX

    Journal of Futures Markets

    Volume 32, Issue 12, December 2012, Pages: 1092–1123, Xingguo Luo and Jin E. Zhang

    Article first published online : 16 AUG 2012, DOI: 10.1002/fut.21572

  7. A Term Structure Model for VIX Futures

    Journal of Futures Markets

    Volume 33, Issue 5, May 2013, Pages: 421–442, Bujar Huskaj and Marcus Nossman

    Article first published online : 15 MAR 2012, DOI: 10.1002/fut.21550

  8. A Multiphase, Flexible, and Accurate Lattice for Pricing Complex Derivatives with Multiple Market Variables

    Journal of Futures Markets

    Volume 33, Issue 9, September 2013, Pages: 795–826, Tian-Shyr Dai, Chuan-Ju Wang and Yuh-Dauh Lyuu

    Article first published online : 20 JUN 2012, DOI: 10.1002/fut.21565

  9. Inflation Derivatives Under Inflation Target Regimes

    Journal of Futures Markets

    Volume 33, Issue 10, October 2013, Pages: 911–938, Mordecai Avriel, Jens Hilscher and Alon Raviv

    Article first published online : 11 JUN 2012, DOI: 10.1002/fut.21568

  10. Investigating the Information Content of the Model-Free Volatility Expectation by Monte Carlo Methods

    Journal of Futures Markets

    Volume 33, Issue 11, November 2013, Pages: 1071–1095, Yuanyuan Zhang, Stephen J. Taylor and Lili Wang

    Article first published online : 25 JUN 2012, DOI: 10.1002/fut.21570

  11. Valuation Bounds on Barrier Options Under Model Uncertainty

    Journal of Futures Markets

    Volume 33, Issue 3, March 2013, Pages: 199–234, Yi Hong

    Article first published online : 13 FEB 2012, DOI: 10.1002/fut.21545

  12. The Return-Implied Volatility Relation for Commodity ETFs

    Journal of Futures Markets

    Volume 34, Issue 3, March 2014, Pages: 261–281, Chaiyuth Padungsaksawasdi and Robert T. Daigler

    Article first published online : 2 JAN 2013, DOI: 10.1002/fut.21592

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    Pricing Multiasset Cross-Currency Options

    Journal of Futures Markets

    Volume 34, Issue 1, January 2014, Pages: 1–19, Kenichiro Shiraya and Akihiko Takahashi

    Article first published online : 21 DEC 2012, DOI: 10.1002/fut.21590

  14. Optimal Futures Hedging Under Multichain Markov Regime Switching

    Journal of Futures Markets

    Volume 34, Issue 2, February 2014, Pages: 173–202, Her-Jiun Sheu and Hsiang-Tai Lee

    Article first published online : 9 NOV 2012, DOI: 10.1002/fut.21583

  15. The Valuation of Equity Futures on the Tokyo Stock Exchange: 1920–1923

    Journal of Futures Markets

    Volume 33, Issue 7, July 2013, Pages: 601–628, Toby Daglish and Lyndon Moore

    Article first published online : 15 MAY 2012, DOI: 10.1002/fut.21560

  16. Price Discovery in Interrelated Markets

    Journal of Futures Markets

    Volume 34, Issue 3, March 2014, Pages: 203–219, Donald Lien and Keshab Shrestha

    Article first published online : 11 DEC 2012, DOI: 10.1002/fut.21593

  17. Dividend-Rollover Effect and the Ad Hoc Black-Scholes Model

    Journal of Futures Markets

    Volume 32, Issue 8, August 2012, Pages: 742–772, Youngsoo Choi, Steven J. Jordan and Soonchan Ok

    Article first published online : 7 FEB 2012, DOI: 10.1002/fut.21541

  18. A Filtering Process to Remove the Stochastic Component from Intraday Seasonal Volatility

    Journal of Futures Markets

    Volume 34, Issue 5, May 2014, Pages: 479–495, Jang Hyung Cho and Robert T. Daigler

    Article first published online : 26 NOV 2012, DOI: 10.1002/fut.21585

  19. Currency-Protected Swaps and Swaptions with Nonzero Spreads in a Multicurrency LMM

    Journal of Futures Markets

    Volume 33, Issue 9, September 2013, Pages: 827–867, Jui-Jane Chang, Son-Nan Chen and Ting-Pin Wu

    Article first published online : 11 JUN 2012, DOI: 10.1002/fut.21567

  20. A Forward Monte Carlo Method for American Options Pricing

    Journal of Futures Markets

    Volume 33, Issue 4, April 2013, Pages: 369–395, Daniel Wei-Chung Miao and Yung-Hsin Lee

    Article first published online : 7 FEB 2012, DOI: 10.1002/fut.21549