We investigate the effects of stochastic interest rates and jumps in the spot exchange rate on the pricing of currency futures, forward and futures options. The proposed model extends Bates's model by allowing both the domestic and foreign interest rates to move around randomly, in a generalized...

This paper examines the ability of the jump diffusion models to explain systematic deviations in implicit distributions from the benchmark assumption of lognormality. Jumps that occur in the spot exchange rate due to supply and demand fluctuations in the currency market impose distributions for...

This paper investigates empirically the existence of periodically collapsing bubbles in the Asian emerging stock markets using the Enders-Siklos (2001) momentum threshold autoregressive model. As explained in Bohl (2003), this non-linear time series technique can be used to analyze bubble driven...

Because the publication of quot;Advances in Futures and Options Researchquot; has been discontinued, a revised version of this paper was published in the Journal of Risk. This paper examines the ability of the jump-diffusion models to explain systematic deviations in implicit distributions from...

In this empirical study, I investigate whether internet stock prices can deviate from their fundamental values in an efficient market. Because standard tests are subject to size distortion, a new robust test due to Taylor and Peel (1998) is used here to test periodically collapsing internet...

This paper values interest rate options using an improved parametric pricing kernel in the Merton (1973) intertemporal capital asset pricing model framework. In contrast to Liu, Kuo and Coakley (2007), the pricing kernel is driven by the following three state variables: the real interest rate,...

This paper values interest rate options using an improved parametric pricing kernel in the Merton (1973) intertemporal capital asset pricing model framework. In contrast to Liu, Kuo and Coakley (2007), the pricing kernel is driven by the following three state variables: the real interest rate,...

This paper examines empirically the value of early exercise by testing the ability of two American put valuation models to predict the early exercise premium for the Samp;P 100 American put options. An accuracy test and a quality test are performed on (1) the MacMillan (1986) amp; Barone-Adesi...