Futures contracts have been highly successful financial securities, with substantial trading volumes and active underlying asset markets. In a dynamic market framework, we show that imperfect competition in future spot markets motivates trades in futures contracts in earlier periods. The...

We adopt the semicovariance decomposition method and machine-learning models to forecast the realized correlation and realized volatility of oil and gold futures markets. The general framework consists of three steps: data preprocessing, accumulating window cross-validation, and performance...

We present an approach for pricing American put options with a regime-switching volatility. Our method reveals that the option price can be expressed as the sum of two components: the price of a European put option and the premium associated with the early exercise privilege. Our analysis...