Journal of Futures Markets: Volume 40, Number 10, October 2020

• DOI: http://doi.org/10.1002/fut.22032
• Published date: 01 October 2020
• Date: 01 October 2020

Volume 40 Number 10 October 2020

FUTURES MARKETS

CONTENTSCONTENTS

T H E J O U R N A L O F

When do informed traders acquire and trade on informational advantage? When do informed traders acquire and trade on informational advantage?

Evidence from Federal Reserve stress tests Evidence from Federal Reserve stress tests 14591459

SCOTT FUNGSCOTT FUNG and and ROBERT LOVELANDROBERT LOVELAND

Night trading and market quality: Evidence from Chinese and US precious Night trading and market quality: Evidence from Chinese and US precious

metal futures markets metal futures markets 14861486

YING JIANG, NEIL KELLARDYING JIANG, NEIL KELLARD and and XIAOQUAN LIUXIAOQUAN LIU

Modeling VXX under jump diffusion with stochastic long‐term mean Modeling VXX under jump diffusion with stochastic long‐term mean 15081508

SEBASTIAN A. GEHRICKESEBASTIAN A. GEHRICKE and and JIN E. ZHANGJIN E. ZHANG

A simple method for extracting the probability of default from American put A simple method for extracting the probability of default from American put

option prices option prices 15351535

BO YOUNG CHANGBO YOUNG CHANG and and GREG OROSIGREG OROSI

Dynamic programming for valuing American options under Dynamic programming for valuing American options under

a variance‐gamma process a variance‐gamma process 15481548

HATEM BEN‐AMEUR, RIM CHÉRIFHATEM BEN‐AMEUR, RIM CHÉRIF and and BRUNO RÉMILLARDBRUNO RÉMILLARD

Enhancing managerial equity incentives with moving average payoffs Enhancing managerial equity incentives with moving average payoffs 15621562

YISONG S. TIANYISONG S. TIAN

Forecasting bitcoin volatility: Evidence from the options market Forecasting bitcoin volatility: Evidence from the options market 15841584

LAI T. HOANGLAI T. HOANG and and DIRK G. BAURDIRK G. BAUR

Earnings announcement timing, uncertainty, and volatility Earnings announcement timing, uncertainty, and volatility

risk premiums risk premiums 16031603

TOM ADAMSTOM ADAMS and and THADDEUS NEURURERTHADDEUS NEURURER

The sensitivity of trading to the cost of information The sensitivity of trading to the cost of information 16311631

ALEX FRINO, OGNJEN KOVAČEVIĆ, VITO MOLLICAALEX FRINO, OGNJEN KOVAČEVIĆ, VITO MOLLICA and and ROBERT I. WEBBROBERT I. WEBB

Volume 40 , Number 10 was mailed the week of 10 September, 2020

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