The value of digital options (both European and American types) can have an inverse-U shape relationship with the volatility of the underlying process! This seemingly counterintuitive proposition is driven by a particular feature of Maringale processes bounded from below (including both the...

This paper examines the dynamics of the relationship between the prices of crude oil and of refined products. Theory insinuates some kind of dynamic equilibrium to govern these relations but we suspect that this equilibrium condition may be subject to changes over time. In Brent-based spreads...

Biofuels have been evaluated based on their greenhouse gas emissions, costs, and potential scale of production. Here we propose that feedstock supply risks should be added to the list of key metrics for evaluating the performance and scalability potential of transportation biofuels. Biofuels...

We show that incorporating endogenously-determined structural breaks into an asymmetric GARCH model reduces volatility persistence in Bitcoin prices. We find that both good news and bad news have less impact on volatility if structural breaks are incorporated. Hence, our results may indicate...