No. 43-7, July 2023
Index
- A good hedge or safe haven? The hedging ability of China's commodity futures market under extreme market conditions
- American strangle options with arbitrary strikes
- Analytically pricing European options under a hybrid stochastic volatility and interest rate model with a general correlation structure
- Hedging options in a hidden Markov‐switching local‐volatility model via stochastic flows and a Monte‐Carlo method
- Journal of Futures Markets: Volume 43, Number 7, July 2023
- Term spreads of implied volatility smirk and variance risk premium
- The impact of Sino–US trade war on price discovery of soybean: A double‐edged sword?
- Who pays the liquidity cost? Central bank announcements and adverse selection