MS-GARCH option pricing model proposed in this paper accommodates new features of corn futures price movement in the era of biofuel production and therefore is more general. Our findings show that this new model will outperform models used in the existing literature both for the in-sample and...

Enabled by the Bayh-Dole Act (1980), universities license access to innovations protected by US patents. Despite the growing importance of license revenue to cash- strapped land-grant universities that generate a large share of agricultural innovations, there has been no formal attempt to...

A new methodology is proposed to estimate theoretical prices of financial contingent-claims whose values are dependent on some other underlying financial assets. In the literature the preferred choice of estimator is usually maximum likelihood (ML). ML has strong asymptotic justification but is...

A restriction to nonnegative wealth is sufficient to preclude all arbitrage opportunities in financial models that have risk neutral probabilities that are valid for all simple strategies. Imposing nonnegative wealth does not constrain agents from making the choice they would make under the...

In continuous time specifications, the prices of interest rate derivative securities depend crucially on the mean reversion parameter of the associated interest rate diffusion equation. This parameter is well known to be subject to estimation bias when standard methods like maximum likelihood...