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Journal of Futures Markets: Volume 45, Number 5, May 2025
IF 1.8 4区 经济学
Journal of Futures Markets Pub Date : 2025-04-07 DOI: 10.1002/fut.22521
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引用次数: 0
Journal of Futures Markets: Volume 45, Number 4, April 2025
IF 1.8 4区 经济学
Journal of Futures Markets Pub Date : 2025-03-10 DOI: 10.1002/fut.22520
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引用次数: 0
Price Discovery in China's Crude Oil Derivatives Market
IF 1.8 4区 经济学
Journal of Futures Markets Pub Date : 2025-03-02 DOI: 10.1002/fut.22578
Zhini Yang, Andrew Lepone
{"title":"Price Discovery in China's Crude Oil Derivatives Market","authors":"Zhini Yang,&nbsp;Andrew Lepone","doi":"10.1002/fut.22578","DOIUrl":"https://doi.org/10.1002/fut.22578","url":null,"abstract":"<div>\u0000 \u0000 <p>This study is the first to examine China's Crude Oil options market. Using high-frequency data and three different price discovery measures, we undertake a rigorous analysis and find that after its first 8 months of operation, China's Crude Oil options market contributes meaningfully to price discovery. Factors including volatility, spread, and speculation levels are shown to impact its price discovery ability. We also find a unique phenomenon in China's Crude Oil derivatives markets in that speculation adds more to the price discovery of the futures market compared with the options market, which is consistent with previous findings for the Chicago Mercantile Exchange Natural Gas derivatives market.</p>\u0000 </div>","PeriodicalId":15863,"journal":{"name":"Journal of Futures Markets","volume":"45 5","pages":"473-493"},"PeriodicalIF":1.8,"publicationDate":"2025-03-02","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143793574","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Appraising Model Complexity in Option Pricing
IF 1.8 4区 经济学
Journal of Futures Markets Pub Date : 2025-02-26 DOI: 10.1002/fut.22575
Mark Cummins, Francesco Esposito
{"title":"Appraising Model Complexity in Option Pricing","authors":"Mark Cummins,&nbsp;Francesco Esposito","doi":"10.1002/fut.22575","DOIUrl":"https://doi.org/10.1002/fut.22575","url":null,"abstract":"<p>The research question we consider is whether incremental complexity in option pricing models is justified by incremental model performance. We apply the model confidence set as a formal model comparison approach in appraising stochastic volatility jump-diffusion option pricing models, spanning affine and nonaffine specifications. Jumps in price with stochastic (constant) arrival intensity produce superior (inferior) outcomes. A parsimonious negative exponential price jump distribution outperforms the popular normal distribution. Jumps in volatility (synchronized or not) worsen model performance. A parsimonious nonlinear hyperbolic drift extension of the Heston model performs particularly well. Nonlinear CEV models generally do not produce appreciable model performance.</p>","PeriodicalId":15863,"journal":{"name":"Journal of Futures Markets","volume":"45 5","pages":"455-472"},"PeriodicalIF":1.8,"publicationDate":"2025-02-26","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://onlinelibrary.wiley.com/doi/epdf/10.1002/fut.22575","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143793889","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"OA","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
A Closed-Form Formula for Pricing European Options With Stochastic Volatility, Regime Switching, and Stochastic Market Liquidity
IF 1.8 4区 经济学
Journal of Futures Markets Pub Date : 2025-02-18 DOI: 10.1002/fut.22573
Xin-Jiang He, Hang Chen, Sha Lin
{"title":"A Closed-Form Formula for Pricing European Options With Stochastic Volatility, Regime Switching, and Stochastic Market Liquidity","authors":"Xin-Jiang He,&nbsp;Hang Chen,&nbsp;Sha Lin","doi":"10.1002/fut.22573","DOIUrl":"https://doi.org/10.1002/fut.22573","url":null,"abstract":"<div>\u0000 \u0000 <p>We consider European option pricing when the volatility of the underlying stock is stochastic and affected by economic cycles. We further assume that market liquidity risks have a significant impact on the price of the stock that is not negligible, and stock prices should be adjusted according to a liquidity discounting factor. For the purpose of option pricing, we transform the established model dynamics under the physical measure into those under a risk-neutral measure, which forms a foundation in the subsequent closed-form derivation of the characteristic function. An analytical option pricing formula is then obtained, and numerical tests together with sensitivity analysis are also performed. Through an empirical analysis, we demonstrate that our model, which incorporates stochastic liquidity, significantly outperforms the version with constant liquidity.</p>\u0000 </div>","PeriodicalId":15863,"journal":{"name":"Journal of Futures Markets","volume":"45 5","pages":"429-440"},"PeriodicalIF":1.8,"publicationDate":"2025-02-18","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143793801","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Pricing Basket Spread Options With Default Risk Under GARCH-Jump Models 在 GARCH-Jump 模型下为具有违约风险的篮子价差期权定价
IF 1.8 4区 经济学
Journal of Futures Markets Pub Date : 2025-02-18 DOI: 10.1002/fut.22574
Dingding Dong, Xianda Qian, Xingchun Wang
{"title":"Pricing Basket Spread Options With Default Risk Under GARCH-Jump Models","authors":"Dingding Dong,&nbsp;Xianda Qian,&nbsp;Xingchun Wang","doi":"10.1002/fut.22574","DOIUrl":"https://doi.org/10.1002/fut.22574","url":null,"abstract":"<div>\u0000 \u0000 <p>In this article, we consider basket spread options with default risk in a pricing model, where GARCH-jump processes are employed to describe the dynamics of all the underlying assets, and default risk is incorporated in a reduced form model. After successfully deriving the approximate pricing formula, we utilize the average cumulative default rates provided by Moody's spanning from 1970 to 2015 to estimate the parameters in the default intensity. Finally, we illustrate the impact of jump risk and default risk on basket spread options after checking the accuracy and efficiency of the approximate prices via Monte Carlo simulation methods.</p>\u0000 </div>","PeriodicalId":15863,"journal":{"name":"Journal of Futures Markets","volume":"45 5","pages":"441-454"},"PeriodicalIF":1.8,"publicationDate":"2025-02-18","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143793802","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Journal of Futures Markets: Volume 45, Number 3, March 2025
IF 1.8 4区 经济学
Journal of Futures Markets Pub Date : 2025-02-12 DOI: 10.1002/fut.22519
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引用次数: 0
Dynamic Interaction Networks and Frequency Domain Features of Speculation and Volatility in US Energy Futures Markets
IF 1.8 4区 经济学
Journal of Futures Markets Pub Date : 2025-02-09 DOI: 10.1002/fut.22570
Jianmin Liu, Zeguang Li, Bluford Putnam, Arthur Yu
{"title":"Dynamic Interaction Networks and Frequency Domain Features of Speculation and Volatility in US Energy Futures Markets","authors":"Jianmin Liu,&nbsp;Zeguang Li,&nbsp;Bluford Putnam,&nbsp;Arthur Yu","doi":"10.1002/fut.22570","DOIUrl":"https://doi.org/10.1002/fut.22570","url":null,"abstract":"<div>\u0000 \u0000 <p>This paper investigates the interplay between speculative and price volatility in the energy futures markets over various cycles, utilizing wavelet coherence and a double-layer network approach. Contrary to conventional wisdom, we find that long-term price volatility in individual futures markets, driven by extreme events, persistently leads to increased speculative trading, partly associated with increased hedging and risk management activity. The connectedness of the two-layer network system is dominated by speculation and volatility spillovers in the short and long term, respectively. The cross-layer spillover effects between price volatility and speculation are more pronounced in the long term. The direct and network effects of speculation reinterpret the interaction patterns among various futures markets. Specifically, the crude oil market, as a net receiver of spillover effects, exhibits an impact of speculation on price volatility driven primarily by network effects. However, the natural gas market is dominated by the direct effects of speculation.</p>\u0000 </div>","PeriodicalId":15863,"journal":{"name":"Journal of Futures Markets","volume":"45 5","pages":"407-428"},"PeriodicalIF":1.8,"publicationDate":"2025-02-09","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143793558","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Commodity Price Crash Risk and Crash Risk Contagion
IF 1.8 4区 经济学
Journal of Futures Markets Pub Date : 2025-02-07 DOI: 10.1002/fut.22566
Prachi Jain, Debasish Maitra
{"title":"Commodity Price Crash Risk and Crash Risk Contagion","authors":"Prachi Jain,&nbsp;Debasish Maitra","doi":"10.1002/fut.22566","DOIUrl":"https://doi.org/10.1002/fut.22566","url":null,"abstract":"<div>\u0000 \u0000 <p>In this study, we propose measures for the risk of commodity price crash. Building on the recent phenomenon of financialization of commodities, we advocate the use of down-to-up volatility (DUVOL) and a negative coefficient of skewness (NCSKEW) using 1-min and daily data, respectively. We find that the crash risk is the highest for natural gas, sugar, and coffee and remains low to moderate for most precious metals. Subsequently, we explore the commodity-specific drivers of crash risk upon controlling for macro-economic variations. We find that speculation and hedging pressure exacerbate the crash risk of most commodities, whereas basis risk alleviates the crash risk of commodities. We document that crash risk is priced in the cross-section of commodity returns. We also find that the crash risk spillovers are asymmetric, remaining low at 33% at the median and peaking at approximately 88% during the extremities.</p>\u0000 </div>","PeriodicalId":15863,"journal":{"name":"Journal of Futures Markets","volume":"45 4","pages":"343-378"},"PeriodicalIF":1.8,"publicationDate":"2025-02-07","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143581743","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Exploring the Driving Forces of the Correlations Between China's Crude Oil Futures and Global and Regional Benchmarks
IF 1.8 4区 经济学
Journal of Futures Markets Pub Date : 2025-02-07 DOI: 10.1002/fut.22569
Min Liu, Chien-Chiang Lee
{"title":"Exploring the Driving Forces of the Correlations Between China's Crude Oil Futures and Global and Regional Benchmarks","authors":"Min Liu,&nbsp;Chien-Chiang Lee","doi":"10.1002/fut.22569","DOIUrl":"https://doi.org/10.1002/fut.22569","url":null,"abstract":"<div>\u0000 \u0000 <p>The launch of the Shanghai International Energy Exchange crude oil futures (INECOFs) is a milestone in China's path to a dominant position in the global energy market. As INECOFs attract more and more investors, understanding the long-term correlations between INECOFs and global and regional benchmarks, as well as the driving forces of these correlations, is of paramount interest to investors wishing to conduct risk management and portfolio diversification. This article makes the first attempt to explore the determinants of such correlations using the mixed-frequency approach. Our results show that INECOFs are highly correlated with the regional benchmarks and less correlated with the global benchmarks. China's crude oil imports, RMB internationalization, the RMB index, economic and trade policy uncertainty, and geopolitical risks significantly impact the dynamics of the correlations in question. China's gross industrial product and price levels cannot drive the movements of all the studied correlations.</p>\u0000 </div>","PeriodicalId":15863,"journal":{"name":"Journal of Futures Markets","volume":"45 4","pages":"379-392"},"PeriodicalIF":1.8,"publicationDate":"2025-02-07","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143581744","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
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