This article proposes semi‐closed‐form solutions to value derivatives on mean reverting assets. A very general mean reverting process for the state variable and two stochastic volatility processes, the square‐root process and the Ornstein‐Uhlenbeck process, are considered. For both...

This paper proposes the use of analytical approximations to price an heterogeneous basket option combining commodity prices, foreign currencies and zero-coupon bonds. The performance of three moment matching approximations is examined: inverse gamma, Edgeworth expansion around the lognormal and...

This paper proposes the use of analytical approximations to price an heterogeneous basket option combining commodity prices, foreign currencies and zero-coupon bonds. We examine the performance of three moment matching approximations: inverse gamma, Edgeworth expansion around the lognormal and...

This article derives semi-analytical pricing formulae for geometric average options (GAOs) within a stochastic volatility framework. Assuming a general mean reverting process for the underlying asset and a square-root process for the volatility, the cross-moment generating function is derived...

This paper applies the stochastic Translog input distance function and stochastic frontier analysis (SFA) method to evaluate the operational efficiency of farm lenders in the commercial banking industry and the Farm Credit System (FCS). This paper uses the late 2000s recession as a backdrop for...

Purpose – The late 2000s Great Recession led to a surge of bank failures in the USA with nearly 300 banks failing from 2009 to 2010. Recalling the farm crises of the 1980s where the farm sector was pinpointed as one of the major precursors of such crises, this study is an attempt to validate...

Stochastic frontier analysis is used to evaluate the technical and allocative efficiencies for banks classified based on industry specialization (agricultural and non-agricultural banks) and solvency condition (non-critical and critical banks). The analytical framework allows for comparisons of...

This study is designed to analyze bank failures from the technical efficiency standpoint under a stochastic cost frontier framework and evaluate the reliability of the technical efficiency measure as a determinant of the financial health of banks and probability to succeed or fail at the height...

This paper is designed to identify predictors of eventual bank failure as well as factors that could enhance the survival ability of agricultural and non-agricultural banks. This study utilizes a split-population survival model that addresses two shortcomings of the basic duration model. First,...