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AgEcon Search 15 records found 1 - 10next  jump to record: Search took 0.07 seconds. 
1.
Typically, three types of implied volatility smiles are seen in commodity options: the reverse skew, the smile, and the forward skew. I put forward an economic explanati [...]
2015-01 | Working or Discussion Paper |
2.
The two most intriguing anomalies in currency markets are: 1) the implied volatility smile in currency options, and 2) the forward discount bias in currency exchange rate [...]
2015-02 | Working or Discussion Paper |
3.
A key limitation of the Black Scholes model is that it assumes a complete market (claims are replicable with existing assets). We put forward a new option pricing formula [...]
2013-09 | Working or Discussion Paper |
4.
Constantinides et al (2013) put forward a number of empirical findings regarding leverage adjusted S&P 500 index option returns. Their findings are puzzling in the co [...]
08 July 2014 | Working or Discussion Paper |
5.
An analogy based option pricing model is put forward. If option prices are determined in accordance with the analogy model, and the Black Scholes model is used to back-o [...]
2014-10 | Working or Discussion Paper |
6.
A key limitation of the Black Scholes model is that it assumes a complete market (claims are replicable with existing assets). We put forward a new option pricing formula [...]
2013-09 | Working or Discussion Paper |
7.
An anchoring-adjusted option pricing model is developed in which the expected return of the underlying stock is used as a starting point that gets adjusted upwards to for [...]
2015-07 | Working or Discussion Paper |
8.
Economists and others need estimates of future cash price volatility to use in risk management evaluation and education programs. This paper evaluates the performance of [...]
2001-12 | Journal Article |
9.
Diversification and portfolio selection are integral parts of a finance curriculum. In this article, a multifactor capital asset pricing model is fit for components of th [...]
2013 | Journal Article |
10.
USDA generates monthly season‐average price forecasts for key agricultural commodities. Uncertainty about each forecast is indicated by its publication as a price inter [...]
2016 | Conference Paper/ Presentation |

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