<section xml:id="fut21597-sec-0001"> Stochastic volatility, price jumps, seasonality, and stochastic cost of carry have been included separately, but not collectively, in pricing models of agricultural commodity futures and options. We propose a comprehensive model that incorporates all four features. We employ a special Markov...</section>

In this dissertation, I investigate three related topics on asset pricing: the consumption-based asset pricing under long-run risks and fat tails, the pricing of VIX (CBOE Volatility Index) options and the market price of risk embedded in stock returns and stock options. These three topics are...

In this dissertation, I investigate three related topics on asset pricing: the consumption-based asset pricing under long-run risks and fat tails, the pricing of VIX (CBOE Volatility Index) options and the market price of risk embedded in stock returns and stock options. These three topics are...

We examine the pricing performance of VIX option models. Such models possess a wide‐range of underlying characteristics regarding the behavior of both the S&P500 index and the underlying VIX. Our tests employ three representative models for VIX options: Whaley (<link href="#bib26">1993</link>), Grunbichler and Longstaff...

WWe explore the effects of fat tails on the equilibrium implications of the long run risks model of asset pricing by introducing innovations with dampened power law to consumption and dividends growth processes. We estimate the structural parameters of the proposed model by maximum likelihood....

We propose a fear index for corn using the variance swap rate synthesized from out-of-the-money call and put options as a measure of implied variance. Previous studies estimate implied variance based on Black (1976) model or forecast variance using the GARCH models. Our implied variance...

We propose a new model of volatility by allowing for a cascading structure of volatility components. The cascading feature is achieved by introducing an increasing structure to the speed of mean reversion. It allows us to add as many components as desired with no additional parameter,...

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...