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June 2002, Volume 22, Issue 6
- 519-555 An intraday test of pricing and arbitrage opportunities in the New Zealand bank bill futures market
by Russell Poskitt - 557-577 The accuracy and efficiency of alternative option pricing approaches relative to a log‐transformed trinomial model
by Hsuan‐Chi Chen & David M. Chen & San‐Lin Chung - 579-598 The drift factor in biased futures index pricing models: A new look
by W. Brian Barrett & Thomas B. Sanders
May 2002, Volume 22, Issue 5
- 393-426 Modeling seasonality in agricultural commodity futures
by Carsten Sørensen - 427-450 The effect of net positions by type of trader on volatility in foreign currency futures markets
by Changyun Wang - 451-469 The pricing of stock index futures spreads at contract expiration
by Alex Frino & Michael D. McKenzie - 471-482 A note on rational call option exercise
by Malin Engström - 483-495 A note on the relationships between some risk‐adjusted performance measures
by Donald Lien
April 2002, Volume 22, Issue 4
- 285-314 Mean reversion in stock index futures markets: A nonlinear analysis
by Michael Monoyios & Lucio Sarno - 315-338 On the enhanced convergence of standard lattice methods for option pricing
by Martin Widdicks & Ari D. Andricopoulos & David P. Newton & Peter W. Duck - 339-354 Delivery risk and the hedging role of options
by Donald Lien & Kit Pong Wong - 355-370 Complements or substitutes? Equivalent futures contract markets—the case of corn and soybean futures on U.S. and Japanese exchanges
by Mark E. Holder & R. Daniel Pace & Michael J. Tomas III - 371-386 What to do if a dollar is not a dollar? The impact of inflation risk on production and risk management
by Axel F. A. Adam‐Müller - 387-391 Substitution between revenue futures and price futures contracts: A note
by David A. Hennessy
March 2002, Volume 22, Issue 3
- 197-218 The effect of the introduction of Cubes on the Nasdaq‐100 index spot‐futures pricing relationship
by Alexander A. Kurov & Dennis J. Lasser - 219-240 The intra‐day price discovery process between the Singapore Exchange and Taiwan Futures Exchange
by Matthew Roope & Ralf Zurbruegg - 241-267 Asymmetric information and corporate derivatives use
by Peter Dadalt & Gerald D. Gay & Jouahn Nam - 269-280 Interdependencies between agricultural commodity futures prices on the LIFFE
by P. J. Dawson & B. White
February 2002, Volume 22, Issue 2
- 95-122 An analysis of the relationship between electricity and natural‐gas futures prices
by Gary W. Emery & Qingfeng (Wilson) Liu - 123-141 Risk aversion, disappointment aversion, and futures hedging
by Donald Lien & Yaqin Wang - 143-153 The Binomial Black–Scholes model and the Greeks
by San‐Lin Chung & Mark Shackleton - 155-171 Step‐reset options: Design and valuation
by L. Paul Hsueh & Y. Angela Liu - 173-196 The relative efficiencies of price execution between the Singapore Exchange and the Taiwan Futures Exchange
by Robin K. Chou & Jie‐Haun Lee
January 2002, Volume 22, Issue 1
- 1-30 Estimating Implied PDFs From American Options on Futures: A New Semiparametric Approach
by Dimitris Flamouris & Daniel Giamouridis - 31-58 A Study of Arbitrage Efficiency Between the FTSE‐100 Index Futures and Options Contracts
by Paul Draper & Joseph K. W. Fung - 59-72 Hedging in Futures and Options Markets with Basis Risk
by Olivier Mahul - 73-94 Valuation and Hedging of Differential Swaps
by Chuang‐Chang Chang & San‐Lin Chung & Min‐Teh Yu
December 2001, Volume 21, Issue 12
- 1091-1117 The Valuation of Options with Restrictions on Preferences and Distributions
by António Câmara - 1119-1149 Volume and Volatility Surrounding Quarterly Redesignation of the Lead S&P 500 Futures Contract
by Ira G. Kawaller & Paul D. Koch & John E. Peterson - 1151-1179 Optimal No‐Arbitrage Bounds on S&P 500 Index Options and the Volatility Smile
by Patrick J. Dennis - 1181-1196 A Note on Finding the Optimal Allocation Between a Risky Stock and a Risky Bond
by John E. Angus
November 2001, Volume 21, Issue 11
- 987-1001 Two‐State Option Pricing: Binomial Models Revisited
by George M. Jabbour & Marat V. Kramin & Stephen D. Young - 1003-1028 Hedge Fund Performance and Manager Skill
by Franklin R. Edwards & Mustafa Onur Caglayan - 1029-1042 Futures Hedging Under Disappointment Aversion
by Donald Lien - 1043-1069 The Cross‐Currency Hedging Performance of Implied Versus Statistical Forecasting Models
by Chris Brooks & James Chong - 1071-1090 Information Role of U.S. Futures Trading in a Global Financial Market
by Hung‐Gay Fung & Wai K. Leung & Xiaoqing Eleanor Xu
October 2001, Volume 21, Issue 10
- 875-903 Accuracy and Reliability Considerations of Option Pricing Algorithms
by Yue‐Kuen Kwok & Ka‐Wo Lau - 905-928 Option‐Expiration Effects in Small Markets: The Spanish Stock Exchange
by P. Corredor & P. Lechón & R. Santamaría - 929-952 Investor Sentiment and Return Predictability in Agricultural Futures Markets
by Changyun Wang - 953-985 Risk Management in Agricultural Markets: A Review
by William G. Tomek & Hikaru Hanawa Peterson
September 2001, Volume 21, Issue 9
- 797-818 Mean Reversion and Basis Dynamics
by Michael Theobald & Peter Yallup - 819-832 Maximum Entropy in Option Pricing: A Convex‐Spline Smoothing Method
by Weiyu Guo - 833-850 Return and Volatility Dynamics in the Spot and Futures Markets in Australia: An Intervention Analysis in a Bivariate EGARCH‐X Framework
by Ramaprasad Bhar - 851-860 Foreign‐Exchange Trading Volume and Federal Reserve Intervention
by Alain Chaboud & Blake LeBaron - 861-874 An Empirical Analysis of the Efficiency of the Osaka Rice Market During Japan's Tokugawa Era
by Shigeyuki Hamori & Naoko Hamori & David A. Anderson
August 2001, Volume 21, Issue 8
- 693-712 The Demand for Hedging with Futures and Options
by Darren L. Frechette - 713-735 Transaction Costs and Market Quality: Open Outcry Versus Electronic Trading
by Yiuman Tse & Tatyana V. Zabotina - 737-768 Identifying the Factors that Affect Interest‐Rate Swap Spreads: Some Evidence from the United States and the United Kingdom
by Ilias Lekkos & Costas Milas - 769-796 Mean Reversion and the Comovement of Equilibrium Spot and Futures Prices: Implications from Alternative Data‐Generating Processes
by Tian Zeng
July 2001, Volume 21, Issue 7
- 599-631 Hedging in Incomplete Markets: An Approximation Procedure for Practical Application
by Wolfgang Breuer & Marc Gürtler - 633-653 The Introduction of Derivatives on the Dow Jones Industrial Average and Their Impact on the Volatility of Component Stocks
by Shafiqur Rahman - 655-680 Pricing Eurodollar Futures Options with the Heath—Jarrow—Morton Model
by Nusret Cakici & Jintao Zhu - 681-692 A Note on Loss Aversion and Futures Hedging
by Donald Lien
June 2001, Volume 21, Issue 6
- 489-516 Natural Selection and Market Efficiency in a Futures Market with Random Shocks
by Guo Ying Luo - 517-552 Intraday Volatility in Interest‐Rate and Foreign‐Exchange Markets: ARCH, Announcement, and Seasonality Effects
by Louis Ederington & Jae Ha Lee - 553-580 Livestock Revenue Insurance
by Chad E. Hart & Bruce A. Babcock & Dermot J. Hayes - 581-598 On a Mean—Generalized Semivariance Approach to Determining the Hedge Ratio
by Sheng‐Syan Chen & Cheng‐Few Lee & Keshab Shrestha
May 2001, Volume 21, Issue 5
- 393-393 Editor's note
by Robert I. Webb & Robert I. Webb - 395-428 Clustering and psychological barriers: the importance of numbers
by Robert I. Webb & Jason Mitchell - 429-446 Heterogeneous expectations of traders in speculative futures markets
by Robert I. Webb & Darren L. Frechette & Robert D. Weaver - 447-462 S&P futures returns and contrary sentiment indicators
by Robert I. Webb & David P. Simon & Roy A. Wiggins III - 463-488 Limits to linear price behavior: futures prices regulated by limits
by Robert I. Webb & Anthony D. Hall & Paul Kofman
April 2001, Volume 21, Issue 4
- 301-327 Vulnerable options, risky corporate bond, and credit spread
by Melanie Cao & Jason Wei - 329-346 Mean‐variance efficiency of the market portfolio and futures trading
by Abraham Lioui & Patrice Poncet - 347-376 Revisiting the finite mixture of Gaussian distributions with application to futures markets
by Thierry Ané & Chiraz Labidi - 377-391 Predicting monetary policy with federal funds futures prices
by Ulf Söderström
March 2001, Volume 21, Issue 3
- 197-211 Pricing FTSE 100 index options under stochastic volatility
by Yueh‐Neng Lin & Norman Strong & Xinzhong Xu - 213-236 Option pricing based on the generalized lambda distribution
by Charles J. Corrado - 237-255 New insights into the impact of the introduction of futures trading on stock price volatility
by Michael D. McKenzie & Timothy J. Brailsford & Robert W. Faff - 257-278 What moves the gold market?
by Jun Cai & Yan‐Leung Cheung & Michael C. S. Wong - 279-300 Asset storability and price discovery in commodity futures markets: A new look
by Jian Yang & David A. Bessler & David J. Leatham
February 2001, Volume 21, Issue 2
- 109-126 Risk premiums on inventory assets: the case of crude oil and natural gas
by Timothy J. Considine & Donald F. Larson - 127-144 Time variation in the correlation structure of exchange rates: high‐frequency analyses
by Jayaram Muthuswamy & Sudipto Sarkar & Aaron Low & Eric Terry - 145-172 Hedging multiple price and quantity exposures
by Carmelo Giaccotto & Shantaram P. Hegde & John B. McDermott - 173-196 Volatility, global information, and market conditions: a study in futures markets
by Hung‐Gay Fung & Gary A. Patterson
January 2001, Volume 21, Issue 1
- 1-17 Liquidity supply and volatility: futures market evidence
by Peter R. Locke & Asani Sarkar - 19-42 An application of finite elements to option pricing
by Michael J. Tomas III & Kishore K. Yalamanchili - 43-78 Stock index futures markets: stochastic volatility models and smiles
by Robert G. Tompkins - 79-108 Rational speculative bubbles in the gold futures market: An application of dynamic factor analysis
by Mark Bertus & Bryan Stanhouse
November 2000, Volume 20, Issue 10
- 887-887 Editor's note
by Robert I. Webb - 889-910 Pascal spreading of short‐term interest rate contracts
by John J. Merrick, Jr. - 911-942 Trading and hedging in S&P 500 spot and futures markets using genetic programming
by Jun Wang - 943-970 Trading volume, bid–ask spread, and price volatility in futures markets
by George H. K. Wang & Jot Yau - 971-987 The relationship between index option moneyness and relative liquidity
by Cheri Etling & Thomas W. Miller, Jr.
October 2000, Volume 20, Issue 9
- 803-821 Normal backwardation is normal
by Joëlle Miffre - 823-841 Optimal hedging of contingent exposure: the importance of a risk premium
by Svein‐Arne Persson & Tørres Trovik - 843-864 Exports and hedging exchange rate risks: the multi‐country case
by Axel F. A. Adam‐Müller - 865-885 The motivation for hedging revisited
by Joost M. E. Pennings & Raymond M. Leuthold
September 2000, Volume 20, Issue 8
- 705-716 Standard and Poor’s depository receipts and the performance of the S&P 500 index futures market
by Lorne N. Switzer & Paula L. Varson & Samia Zghidi - 717-751 Modeling the conditional mean and variance of the short rate using diffusion, GARCH, and moving average models
by Turan G. Bali - 753-774 Determinants of endogenous price risk in corn and wheat futures markets
by Barry K. Goodwin & Randy Schnepf - 775-801 Futures hedging when the structure of the underlying asset changes: The case of the BIFFEX contract
by Manolis G. Kavussanos & Nikos K. Nomikos
August 2000, Volume 20, Issue 7
- 603-624 The cost of carry model and regime shifts in stock index futures markets: An empirical investigation
by Lucio Sarno & Giorgio Valente - 625-659 Pricing American options with stochastic volatility: Evidence from S&P 500 futures options
by Lim Kian Guan & Guo Xiaoqiang - 661-685 Stock index futures trading and volatility in international equity markets
by Huseyin Gulen & Stewart Mayhew - 687-704 Transactions data tests of efficiency: An investigation in the Singapore futures markets
by Mahendra Raj
July 2000, Volume 20, Issue 6
- 507-523 Bernoulli speculator and trading strategy risk
by Abraham Lioui & Patrice Poncet - 525-543 Memory in returns and volatilities of futures' contracts
by Nuno Crato & Bonnie K. Ray - 545-571 Cointegration, unbiased expectations, and forecasting in the BIFFEX freight futures market
by Michael S. Haigh - 573-602 Price limits, margin requirements, and default risk
by Pin‐Huang Chou & Mei‐Chen Lin & Min‐Teh Yu
May 2000, Volume 20, Issue 5
- 405-424 Lower‐boundary violations and market efficiency: Evidence from the German DAX‐index options market
by Stefan Mittnik & Sascha Rieken - 425-444 Intra‐day volatility components in FTSE‐100 stock index futures
by Alan E.H. Speight & David G. McMillan & Owain ap Gwilym - 445-466 Examining futures price changes and volatility on the trading day after a limit‐lock day
by Chul Woo Park - 467-487 The lead–lag relationship between equities and stock index futures markets around information releases
by Alex Frino & Terry Walter & Andrew West - 489-506 Efficient use of commodity futures in diversified portfolios
by Gerald R. Jensen & Robert R. Johnson & Jeffrey M. Mercer
April 2000, Volume 20, Issue 4
- 307-320 The intraday distribution of volatility and the value of wildcard options
by Paul Dawson - 321-344 Integration and arbitrage in the Spanish financial markets: An empirical approach
by Alejandro Balbás & Iñaki R. Longarela & Ángel Pardo - 345-359 Response to price and production risk: The case of Australian wheat
by Alicia N. Rambaldi & Phil Simmons - 361-374 Hedging downside risk under asymmetric taxation
by Donald Lien & Michael Metz - 375-396 Optimal hedging under nonlinear borrowing cost, progressive tax rates, and liquidity constraints
by Joaquín Arias & B. Wade Brorsen & Ardian Harri - 397-404 Production and hedging under Knightian uncertainty
by Donald Lien
March 2000, Volume 20, Issue 3
- 205-218 The role of floor brokers in the supply of liquidity: An empirical analysis
by Henk Berkman & Laura Hayes - 219-241 Modes of fluctuation in metal futures prices
by Thomas J. Urich - 243-263 Effects of reduced government deficiency payments on post‐harvest wheat marketing strategies
by Brian D. Adams & Steven Betts & B. Wade Brorsen - 265-291 Empirical performance of alternative pricing models of currency options
by Ghulam Sarwar & Timothy Krehbiel - 293-306 Pricing Eurodollar futures options using the BDT term structure model: The effect of yield curve smoothing
by Turin G. Bali & Ahmet K. Karagozoglu
February 2000, Volume 20, Issue 2
- 105-125 Market volatility and the demand for hedging in stock index futures
by Eric Chang & Ray Y. Chou & Edward F. Nelling - 127-144 Time series volatility of commodity futures prices
by Jane Black & Ian Tonks - 145-166 Pricing dynamics of index options and index futures in Hong Kong before and during the Asian financial crisis
by Louis T. W. Cheng & Joseph K. W. Fung & Kam C. Chan - 167-188 Early exercise of American put options: Investor rationality on the Swedish equity options market
by Malin Engström & Lars Nordén & Anders Strömberg - 189-204 The risk management effectiveness of multivariate hedging models in the U.S. soy complex
by Robert A. Collins
January 2000, Volume 20, Issue 1
- 1-1 Editor's note
by Robert I. Webb - 3-4 Introduction
by Mark J. Powers - 5-18 The relationship between volume and price variability in futures markets
by Bradford Cornell - 19-40 Cash settlement of futures contracts: An economic analysis
by Kenneth D. Garbade & William L. Silber - 41-57 Portfolio insurance trading rules
by Richard Bookstaber & Joseph A. Langsam - 59-71 A theory of negative prices for storage
by Brian D. Wright & Jeffrey C. Williams - 73-87 Estimating time‐varying optimal hedge ratios on futures markets
by Robert J. Myers - 89-103 Hedge effectiveness: Basis risk and minimum‐variance hedging
by Mark G. Castelino
December 1999, Volume 19, Issue 8
- 859-875 Hedging with mismatched currencies
by Udo Broll & Kit Pong Wong - 877-894 Contemporary and long‐run correlations: A covariance component model and studies on the S&P 500 cash and futures markets
by Gary G. J. Lee - 895-909 Volatility and maturity effects in the Nikkei index futures
by Yen‐Ju Chen & Jin‐Chuan Duan & Mao‐Wei Hung - 911-930 Price discovery and volatility spillovers in the DJIA index and futures markets
by Yiuman Tse - 931-955 Risk arbitrage opportunities in petroleum futures spreads
by Paul Berhanu Girma & Albert S. Paulson - 957-990 Hedging performance of shrimp futures contracts with multiple deliverable grades
by Josué Martínez‐Garmendia & James L. Anderson
October 1999, Volume 19, Issue 7
- 735-758 Pricing and hedging S&P 500 index options with Hermite polynomial approximation: empirical tests of Madan and Milne's model
by Thierry Ané - 759-776 Managed futures, positive feedback trading, and futures price volatility
by Scott H. Irwin & Satoko Yoshimaru - 777-797 An empirical comparison of continuous time models of the short term interest rate
by Turan G. Bali - 799-815 Arbitrage, cointegration, and the joint dynamics of prices across discrete commodity futures auctions
by Aaron H. W. Low & Jayaram Muthuswamy & Robert I. Webb - 817-843 A flexible binomial option pricing model
by Yisong “Sam” Tian - 845-858 A note on pricing Asian derivatives with continuous geometric averaging
by John E. Angus
September 1999, Volume 19, Issue 6
- 619-643 Price discovery in the German equity index derivatives markets
by G. Geoffrey Booth & Raymond W. So & Yiuman Tse - 645-664 Valuation of futures and commodity options with information costs
by Mondher Bellalah - 665-693 Foreign exchange futures volatility: Day‐of‐the‐week, intraday, and maturity patterns in the presence of macroeconomic announcements
by Li‐Ming Han & John L. Kling & Clifford W. Sell - 695-715 Mispricing of index futures contracts and short sales constraints
by Joseph K. W. Fung & Paul Draper - 717-733 Harvest contract price volatility for cotton
by Darren Hudson & Keith Coble
August 1999, Volume 19, Issue 5
- 499-521 Do S&P 500 index options violate the martingale restriction?
by Norman Strong & Xinzhong Xu - 523-540 Intertemporal volatility and price interactions between Australian and Japanese spot and futures stock index markets
by Ah‐Boon Sim & Ralf Zurbreugg - 541-564 A comprehensive examination of the compass rose pattern in futures markets
by Chun I. Lee & Kimberly C. Gleason & Ike Mathur - 565-582 Is the Australian wool futures market efficient as a predictor of spot prices?
by Jeremy Graham‐Higgs & Alicia Rambaldi & Brian Davidson - 583-602 VaR without correlations for portfolios of derivative securities
by Giovanni Barone‐Adesi & Kostas Giannopoulos & Les Vosper - 603-618 A reappraisal of the forecasting performance of corn and soybean new crop futures
by Carl R. Zulauf & Scott H. Irwin & Jason E. Ropp & Anthony J. Sberna
June 1999, Volume 19, Issue 4
- 377-411 Managed commodity funds
by Franklin R. Edwards & Jimmy Liew - 413-432 The relative efficiency of commodity futures markets
by Neil Kellard & Paul Newbold & Tony Rayner & Christine Ennew - 433-455 Margin requirements and futures activity: Evidence from the soybean and corn markets
by Bahram Adrangi & Arjun Chatrath - 457-474 Fractional cointegration and futures hedging
by Donald Lien & Yiu Kuen Tse - 475-498 Trading costs and price discovery across stock index futures and cash markets
by Minho Kim & Andrew C. Szakmary & Thomas V. Schwarz
May 1999, Volume 19, Issue 3
- 245-270 The temporal relationship between derivatives trading and spot market volatility in the U.K.: Empirical analysis and Monte Carlo evidence
by Kyriacos Kyriacou & Lucio Sarno - 271-289 The soybean crush spread: Empirical evidence and trading strategies
by David P. Simon - 291-306 Pricing Eurodollar futures options with the Ho and Lee and Black, Derman, and Toy models: An empirical comparison
by Roswell E. Mathis III & Gerald O. Bierwag - 307-324 The determinants of bid‐ask spreads in the foreign exchange futures market: A microstructure analysis
by David K. Ding - 325-351 Modeling nonlinear dynamics of daily futures price changes
by Andre H. Gao & George H. K. Wang - 353-376 The forward pricing function of the shipping freight futures market
by Manolis G. Kavussanos & Nikos K. Nomikos
April 1999, Volume 19, Issue 2
- 127-152 Optimal margin level in futures markets: Extreme price movements
by François M. Longin - 153-174 A further look at transaction costs, short sale restrictions, and futures market efficiency: The case of Korean stock index futures
by Gerald D. Gay & Dae Y. Jung - 175-193 The relationship between spot and futures prices: Evidence from the crude oil market
by Param Silvapulle & Imad A. Moosa - 195-216 Mid‐day volatility spikes in U.S. futures markets
by Diane Scott Docking & Ira G. Kawaller & Paul D. Koch - 217-232 A further investigation of the lead–lag relationship between the spot market and stock index futures: Early evidence from Korea
by Jae H. Min & Mohammad Najand - 233-244 A Note: The CSCE cheddar cheese cash and futures price long‐term equilibrium relationship revisited
by Cameron S. Thraen
February 1999, Volume 19, Issue 1
- 1-29 An empirical examination of the SIMEX Nikkei 225 futures contract around the Kobé earthquake and the Barings Bank collapse
by David M. Walsh & Jinwei Quek - 31-58 Market microstructure of FT‐SE 100 index futures: An intraday empirical analysis
by Yiuman Tse - 59-77 Efficiency tests in the Spanish futures markets
by Chun I. Lee & Ike Mathur - 79-100 Detecting and modeling changing volatility in the copper futures market
by Kevin Bracker & Kenneth L. Smith - 101-113 A note on estimating the minimum extended Gini hedge ratio
by Donald Lien & David R. Shaffer - 115-120 Covered arbitrage in foreign exchange markets with forward forward contracts in interest rates: Comment
by Carl A. Batlin - 121-125 Covered arbitrage in foreign exchange markets with forward forward contracts in interest rates: Reply
by Dilip K. Ghosh
December 1998, Volume 18, Issue 8
- 871-901 Regime switching and cointegration tests of the efficiency of futures markets
by Ying‐Foon Chow - 903-923 Short selling, unwinding, and mispricing
by Alexander Kempf - 925-938 Dynamic hedging of paper with T bill futures
by Gregory Koutmos & Andreas Pericli - 939-964 Noninformative and informative tests of efficiency in three energy futures markets
by Emilio Peroni & Robert McNown - 965-983 Commodity futures trading performance using neural network models versus ARIMA models
by Chrispin Ntungo & Milton Boyd - 985-999 Returns and volatility in the Kuala Lumpur crude
by Keng Yap Liew & Robert Brooks
October 1998, Volume 18, Issue 7
- 743-763 The profitability of index futures arbitrage: Evidence from bid‐ask quotes
by Kee‐Hong Bae & Kalok Chan & Yan‐Leung Cheung - 765-801 An analysis of the profiles and motivations of habitual commodity speculators
by W. Bruce Canoles & Sarahelen Thompson & Scott Irwin & Virginia Grace France - 803-825 Asymmetric information in commodity futures markets: Theory and empirical evidence
by Stylianos Perrakis & Nabil Khoury - 827-849 The exchange rate crisis of September 1992 and the pricing of Italian financial futures
by Giulio Cifarelli - 851-866 Are regression approach futures hedge ratios stationary?
by Robert Ferguson & Dean Leistikow - 867-870 A note on a risk‐return measure of hedging effectiveness
by Sudhakar Satyanarayan
September 1998, Volume 18, Issue 6
- 605-627 Stochastic volatility functions implicit in Eurodollar futures options
by Karen Bhanot - 629-670 Stochastic dominance arguments and the bounding of the generalized concave option price
by Claude Henin & Nathalie Pistre - 671-704 Assessing inefficiency in the futures markets
by E.A. Olszewski - 705-722 Hedging time‐varying downside risk
by Donald Lien & Yiu Kuen Tse - 723-742 Design, pricing, and returns of short‐term hog marketing window contracts
by James Unterschultz & Frank Novak & Donald Bresee & Stephen Koontz
August 1998, Volume 18, Issue 5
- 487-517 Spread options, exchange options, and arithmetic Brownian motion
by Geoffrey Poitras - 519-540 Linear and nonlinear Granger causality: Evidence from the U.K. stock index futures market
by Abhay Abhyankar - 541-561 Effectiveness of dual hedging with price and yield futures
by Dong‐Feng Li & Tomislav Vukina - 563-579 Is after‐hours trading informative?
by Carlos A. Ulibarri - 581-598 Seasonality in petroleum futures spreads
by Paul Berhanu Girma & Albert S. Paulson