Adverse weather related risk is a main source of crop production loss and a big concern for agricultural insurers and reinsurers. In response, weather risk hedging may be valuable, however, due to basis risk it has been largely unsuccessful to date. This research proposes the Levy subordinated...

This paper presents valuation models of emission allowance options under an emission trading scheme, operating in an open trading phase, where unused allowances are banked to subsequent phases without any limit. Empirical studies are carried out to show that allowance option prices exhibit...

We derive a model-free expression of the serial dependence coefficients of the stock market returnin terms of the prices of available index options, VIX futures, and VIX options. As a result,we obtain real-time market autocorrelation and regression coefficients between market returnsover two...