Journal of Futures Markets最新文献

{"title":"Time Integrals Under the Black–Scholes–Merton and Margrabe Economies","authors":"José Carlos Dias,&nbsp;Mark B. Shackleton,&nbsp;Fernando Correia da Silva,&nbsp;Rafał M. Wojakowski","doi":"10.1002/fut.70107","DOIUrl":"https://doi.org/10.1002/fut.70107","url":null,"abstract":"<p>The problem of integrating the Black, Scholes, and Merton (BSM) formula with respect to the time variable is paramount for an economist. Inspired by the real options literature, Shackleton and Wojakowski offer analytic formulae for valuing finite maturity (profit) caps and floors that are contingent on continuous flows following a lognormal distribution. Alternative, but equivalent, closed-form solutions have been recently proposed in Dias et al. by solving the time integral of options using a direct approach that does not rely on the real options intuition. This paper further extends and simplifies the computation of time integrals under the BSM world, considering not only plain-vanilla but also several exotic, including path-dependent options. We also provide a new closed-form solution of the time integral under the Margrabe economy. The method proposed in this paper makes the evaluation easier, cements the “non-real options” route and opens the way for more analytical work in BSM, Margrabe, and other areas.</p>","PeriodicalId":15863,"journal":{"name":"Journal of Futures Markets","volume":"46 7","pages":"1256-1274"},"PeriodicalIF":2.3,"publicationDate":"2026-06-06","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://onlinelibrary.wiley.com/doi/epdf/10.1002/fut.70107","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"148174717","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}

{"title":"Enhancing Commodity Futures Price Prediction With Geopolitical Risk Embedding: A Comparative Study of Deep Learning Models","authors":"Yong Li,&nbsp;Lulu Qin,&nbsp;Chenying Yang","doi":"10.1002/fut.70096","DOIUrl":"https://doi.org/10.1002/fut.70096","url":null,"abstract":"<div>\u0000 \u0000 <p>This study uses daily closing prices of nine Chinese commodity futures from 2015 to 2023 to analyze price fluctuations and improve prediction reliability. It compares traditional time series model (ARIMAX), benchmark deep learning models (LSTM, GRU), and generative adversarial networks (GAN, WGAN), while also exploring the impact of geopolitical risk (GPR). The results show that deep learning models outperform traditional methods. LSTM and GRU excel at capturing temporal features, while WGAN offers superior versatility and stability, addressing GAN prediction flaws. Including GPR enhances forecasting accuracy for most commodities, revealing a dynamic correlation between GPR and commodity prices, with significant variation across different commodities. This study provides empirical evidence for the use of deep learning in financial time series forecasting and highlights the role of geopolitical risks in futures markets.</p>\u0000 </div>","PeriodicalId":15863,"journal":{"name":"Journal of Futures Markets","volume":"46 6","pages":"1098-1136"},"PeriodicalIF":2.3,"publicationDate":"2026-05-10","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"148077638","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}

{"title":"","authors":"","doi":"","DOIUrl":"","url":null,"abstract":"","PeriodicalId":15863,"journal":{"name":"Journal of Futures Markets","volume":"46 6","pages":""},"PeriodicalIF":2.3,"publicationDate":"2026-05-10","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"148074164","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}

{"title":"Option Market Value-Based Reaction and Anticipation of Corporate-Related Decisions by the United States Supreme Court","authors":"Yehuda Davis,&nbsp;Suresh Govindaraj,&nbsp;Yi Liu,&nbsp;Kate Suslava","doi":"10.1002/fut.70094","DOIUrl":"https://doi.org/10.1002/fut.70094","url":null,"abstract":"<div>\u0000 \u0000 <p>Our paper studies the option market reactions to judicial decisions in the United States Supreme Court (SCOTUS) relating to cases where at least one party involved is a public firm. Prior research finds the stock market is unable to anticipate SCOTUS's actions and registers a significant negative stock market reaction to the grant of <i>certiorari</i> (acceptance of a petition to review a lower court's decision) for respondents and, surprisingly, for petitioners as well. We show the negative price reaction for both petitioner and respondent firms is a consequence of increased uncertainty. We also provide evidence that on the day <i>certiorari</i> is granted, the option market anticipates the final decision by SCOTUS. We believe we are the first to study the ability of futures markets to predict SCOTUS decisions.</p>\u0000 </div>","PeriodicalId":15863,"journal":{"name":"Journal of Futures Markets","volume":"46 6","pages":"1022-1031"},"PeriodicalIF":2.3,"publicationDate":"2026-05-10","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"148070457","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}

{"title":"Journal of Futures Markets: Volume 46, Number 6, June 2026","authors":"","doi":"10.1002/fut.70112","DOIUrl":"https://doi.org/10.1002/fut.70112","url":null,"abstract":"","PeriodicalId":15863,"journal":{"name":"Journal of Futures Markets","volume":"46 6","pages":""},"PeriodicalIF":2.3,"publicationDate":"2026-05-10","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://onlinelibrary.wiley.com/doi/epdf/10.1002/fut.70112","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"148073576","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}

{"title":"Quadratic Hedging of American Options Under GARCH Models","authors":"Junmei Ma,&nbsp;Chen Wang,&nbsp;Wei Xu","doi":"10.1002/fut.70099","DOIUrl":"https://doi.org/10.1002/fut.70099","url":null,"abstract":"<p>American options are widely traded in financial markets, yet there is a scarcity of literature on hedging in incomplete markets. In this paper, we derive optimal hedging ratios and option values using Local Risk Minimization (LRM) and Global Risk Minimization (GRM) hedging strategies through dynamic programming. Then, by utilizing the willow tree structure, the ratios and values can be computed efficiently and accurately. Moreover, this method provides a comprehensive table of hedging strategies across possible asset prices and discrete times, rather than a single initial ratio. Finally, we examine the effectiveness of LRM, GRM, and Delta hedging, assuming the underlying asset follows two different GARCH models under both the physical (<span></span><math>\u0000 <semantics>\u0000 <mrow>\u0000 \u0000 <mrow>\u0000 <mi>P</mi>\u0000 </mrow>\u0000 </mrow>\u0000 </semantics></math>) and risk-neutral (<span></span><math>\u0000 <semantics>\u0000 <mrow>\u0000 \u0000 <mrow>\u0000 <mi>Q</mi>\u0000 </mrow>\u0000 </mrow>\u0000 </semantics></math>) measures. Our objective is to assess the added value of GRM over LRM and Delta hedging, the impact of using the <span></span><math>\u0000 <semantics>\u0000 <mrow>\u0000 \u0000 <mrow>\u0000 <mi>P</mi>\u0000 </mrow>\u0000 </mrow>\u0000 </semantics></math> versus <span></span><math>\u0000 <semantics>\u0000 <mrow>\u0000 \u0000 <mrow>\u0000 <mi>Q</mi>\u0000 </mrow>\u0000 </mrow>\u0000 </semantics></math> measure for hedging, and the influence of hedging frequency on hedging errors.</p>","PeriodicalId":15863,"journal":{"name":"Journal of Futures Markets","volume":"46 6","pages":"1079-1097"},"PeriodicalIF":2.3,"publicationDate":"2026-05-10","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://onlinelibrary.wiley.com/doi/epdf/10.1002/fut.70099","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"148074731","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}

{"title":"Analytically Pricing Commodity Futures Options Under Financialization With Stochastic Liquidity Risks","authors":"Wenting Chen,&nbsp;Fangzhao Zhou,&nbsp;Xin-Jiang He","doi":"10.1002/fut.70103","DOIUrl":"https://doi.org/10.1002/fut.70103","url":null,"abstract":"<div>\u0000 \u0000 <p>In this paper, we propose a liquidity-adjusted pricing model in the context of commodity financialization, aiming at improving the pricing efficiency of commodity futures options. This model captures key characteristics of the real commodity market by integrating a basic two-factor model with a financialization index and a market liquidity risk factor. Under this complicated four-factor model, a closed-form analytical solution for the price of commodity futures options is derived, which is then validated numerically. Through a preliminary empirical study, it is demonstrated that the current model surpasses other benchmarks, indicating the necessity of integrating both financialization and liquidity risks into the pricing of commodity futures options.</p>\u0000 </div>","PeriodicalId":15863,"journal":{"name":"Journal of Futures Markets","volume":"46 6","pages":"1154-1166"},"PeriodicalIF":2.3,"publicationDate":"2026-05-10","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"148061710","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}

{"title":"Curve Momentum in China","authors":"Zhenlong Zheng,&nbsp;Yiye Liu,&nbsp;You Wu,&nbsp;Rong Chen","doi":"10.1002/fut.70093","DOIUrl":"https://doi.org/10.1002/fut.70093","url":null,"abstract":"<div>\u0000 \u0000 <p>Incorporating the distinct characteristics of the Chinese futures market, we implement a momentum strategy within the commodity futures curves. Our diversified curve momentum strategy yields significantly positive average excess returns, achieving a Sharpe ratio comparable to or exceeding those of traditional futures factors. These excess returns are difficult to reconcile with risk-based explanations. We show that a behavioral mechanism based on investor herding plays a central role in generating the strategy's excess returns. A cross-market comparison between China and the United States further shows that differences in maturity-level liquidity structure condition whether herding-driven trading pressure can propagate into persistent relative return continuation along the futures curve. The profitability of the strategy remains robust when subjected to tests of alternative formation and holding periods, weighting schemes, decision delays, transaction costs and definitions of the commodity cross section, and is not driven by narrow subsets of commodities.</p>\u0000 </div>","PeriodicalId":15863,"journal":{"name":"Journal of Futures Markets","volume":"46 6","pages":"982-1021"},"PeriodicalIF":2.3,"publicationDate":"2026-05-10","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"148070450","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}

{"title":"Why Do Hedgers Hedge? The Role of Ambiguity","authors":"Fiona Höllmann","doi":"10.1002/fut.70098","DOIUrl":"https://doi.org/10.1002/fut.70098","url":null,"abstract":"<p>This paper investigates whether ambiguity influences hedging behavior in commodity futures markets. Using high-frequency crude oil futures data, distinct measures of risk and ambiguity are linked to weekly hedging positions from the Commodity Futures Trading Commission (CFTC). The results show that ambiguity significantly affects hedging behavior beyond traditional risk measures. Importantly, different types of hedgers respond to ambiguity in opposing ways: Operational hedgers, who hedge direct exposure to physical prices, reduce their hedging pressure when facing ambiguity, while financial intermediaries, who hedge exposures from client contracts, increasing their hedging pressure. The findings are robust to alternative ambiguity measures, additional controls, and causal identification strategies. Instrument variable evidence supports the intermediary effects; for operational hedgers, results are directionally similar but not longer significant.</p>","PeriodicalId":15863,"journal":{"name":"Journal of Futures Markets","volume":"46 6","pages":"1053-1078"},"PeriodicalIF":2.3,"publicationDate":"2026-05-10","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://onlinelibrary.wiley.com/doi/epdf/10.1002/fut.70098","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"148074730","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}

{"title":"Improving Implied Volatility Forecasts for American Options Using Neural Networks","authors":"Haitong Jiang,&nbsp;Emese Lazar,&nbsp;Miriam Marra","doi":"10.1002/fut.70101","DOIUrl":"https://doi.org/10.1002/fut.70101","url":null,"abstract":"<p>This paper explores the application of neural networks to improve pricing of American options. Focusing on both American and European options on the S&amp;P 100 index from January 2016 to August 2023, we integrate neural networks to model the difference between market-implied and model-implied volatilities derived from the Black-Scholes and Heston models. We also employ a pure neural network which does not use pricing models. Our study compares two neural network training architectures: independent training, where the network is trained anew daily, and sequential training, which uses the previous day's network setup as starting point to retrain the network. The findings reveal that a pure neural network with sequential training significantly reduces the root mean square error (RMSE) of implied volatility predictions compared to traditional pricing models. The inclusion of European option data in the training can enhance the models' forecasting performance, though its effectiveness varies depending on market conditions.</p>","PeriodicalId":15863,"journal":{"name":"Journal of Futures Markets","volume":"46 6","pages":"1137-1153"},"PeriodicalIF":2.3,"publicationDate":"2026-05-10","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://onlinelibrary.wiley.com/doi/epdf/10.1002/fut.70101","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"148099476","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}