The Impact of Overnight Periods on Option Pricing [PDF]
This paper investigates the effect of closed overnight exchanges on option prices.During the trading day asset prices follow the literature s standard affine model which allows asset prices to exhibit stochastic volatility and random jumps.Independently,
Werker, B.J.M., Drost, F.C., Boes, M.J.
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Option pricing of weather derivatives based on a stochastic daily rainfall model with Analogue Year component. [PDF]
Heliyon, 2020 Berhane T +3 more
europepmc +1 more source
Delaying the Inevitable? U.S. Screwworm Closures and Feeder Cattle Market Dynamics
Applied Economic Perspectives and Policy, EarlyView.ABSTRACT Biosecurity trade restrictions are commonly framed as preventive measures, yet in many settings they function primarily as policies of delay: they impose immediate market costs while only postponing the arrival of biological risks. This paper evaluates that intertemporal tradeoff using the 2024–2025 US suspension of live cattle imports from ...
Shelby Sumner +3 more
wiley +1 more source
A Semiparametric Estimation of Liquidity Effects on Option Pricing [PDF]
This paper proposes a semiparametric option pricing model with liquidity, as proxied by the relative bid-ask spread. The nonparametric volatility function with liquidity as an explanatory variable is estimated using the Symmetrized Nearest Neighbors (SNN)
Ferreira García, María Eva +2 more
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Saddlepoint approximations to tail expectations under non-Gaussian base distributions: option pricing applications. [PDF]
J Appl Stat, 2020 Zhang Y, Kuen Kwok Y.
europepmc +1 more source
U.S. Agriculture, Biofuel Markets, and Trade: Challenges and Opportunities
Applied Economic Perspectives and Policy, EarlyView.ABSTRACT Using an enhanced Computable General Equilibrium (CGE) model (GTAP‐BIO), this study assesses how the expansion in demand for Electric Vehicles (EVs) and the reduction in exports of agricultural products induced by trade disputes negatively affect US agriculture.
Rayan Wolf, Farzad Taheripour
wiley +1 more source
Numeraire-invariant option pricing and american, bermudan, trigger stream rollover (v1.6) [PDF]
Part I proposes a numeraire-invariant option pricing framework. It defines an option, its price process, and such notions as option indistinguishability and equivalence, domination, payoff process, trigger option, and semipositive option.
Farshid Jamshidian
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Integrating Perennial Groundcover in Corn and Soybean Acres: Impacts on U.S. Agriculture
Applied Economic Perspectives and Policy, EarlyView.ABSTRACT Sustainable agricultural practices such as cover cropping can improve soil health, water quality, and carbon sequestration, yet U.S. adoption remains limited due to economic and operational barriers. We evaluate market and economic impacts of integrating perennial groundcover into U.S.
Sagar Dahal, Amani Elobeid, John Crespi
wiley +1 more source
Pricing bivariate option under GARCH-GH model with dynamic copula: application for Chinese market [PDF]
This paper develops the method for pricing bivariate contingent claims under General Autoregressive Conditionally Heteroskedastic (GARCH) process. In order to provide a general framework being able to accommodate skewness, leptokurtosis, fat tails as ...
Dominique Guegan, Jing Zhang
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Assessing Government Subsidies for Reducing Pesticide Use: A Meta‐Analysis
Applied Economic Perspectives and Policy, EarlyView.ABSTRACT In the efforts being made by governments to reduce pesticide use, subsidies are an important instrument to encourage farmers to adopt more sustainable practices. Yet, their effectiveness remains uncertain due to diverse designs and contexts.
Gaëlle Leduc +3 more
wiley +1 more source