In this paper, we apply GPU computation to an American option pricing problem via Monte Carlo (MC) simulations and particle swarm optimization (PSO). Given that computations in both MC and PSO can be vectorized and made independent, the valuation can be readily performed on GPUs. As a result, we...

The inefficient pricing of the CDS (credit default swap) market has been considered as one of the main causes of the Global Financial Crisis. As price discovery is theoretically related to liquidity, this has been considered a source of mispricing in this over-the-counter market. However the CDS...

We examine the abnormal returns of firms that hedge over the period from October 2012 to December 2021 using eight new factor-based asset pricing models or variants. We reject the existence of positive alphas and find the results documented by Nelson, Moffitt, and Affleck-Graves (2005) do not...

Futures market prices in different countries affect each other such is the case for US and China. China has a huge share of the global consumption of commodities and the Chinese government is concerned about the excessive influence of global speculative forces. Therefore, it is important to...

On August 2017, the Financial Accounting Standards Board (FASB) issued an Accounting Standards Update (ASU) is intended to improve accounting for hedging activities and enhance derivative usage transparency. In this paper, I examine whether banks change the accounting designation of derivatives...

Design/methodology/approach: This study uses data on all U.S. public firms over the period from 1990 to 2019. The authors mainly apply multivariate regression and a difference-in-difference approach to test their hypotheses.Purpose: The purpose of this study is to investigate how changes in the...

Shorter-dated options have become more popular in the grain markets. The shortest common tenor is “weeklies”, touted as useful for positioning around major USDA reports. The value of weeklies can be lower than regular options because of the shorter tenor, and higher because of a volatility...

This study investigates the intraday realized volatility (RV) forecasting of gold futures in China. To predict the RV in the last half an hour before the day trading close (LH), we decompose the whole trading period into several intervals. RVs in day trading intervals can predict the RV in LH,...

This paper examines the impact of futures introduction on Bitcoin price crash risk. Using the difference-in-difference (DID) approach, we find that the crash risk of Bitcoin, proxied by negative coefficient of skewness (NCSKEW) and down-to-up volatility (DUVOL) of the five-minute intra-daily...