<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>

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...

A seven-year comparative study of grid pricing versus average pricing of slaughter cattle was conducted to evaluate carcass quality market signals. The primary objectives of the study are to determine: (1) if market signals sent through the grid pricing system indicate an improvement in the grid...

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...