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Modeling the Implied Volatility Smirk in China: Do Non-Affine Two-Factor Stochastic Volatility Models Work? 中国隐含波动率假笑的建模：非仿射双因素随机波动率模型是否有效？
IF 1.8 4区 经济学
Journal of Futures Markets Pub Date : 2025-03-19 DOI: 10.1002/fut.22579
Yifan Ye, Zheqi Fan, Xinfeng Ruan
{"title":"Modeling the Implied Volatility Smirk in China: Do Non-Affine Two-Factor Stochastic Volatility Models Work?","authors":"Yifan Ye,&nbsp;Zheqi Fan,&nbsp;Xinfeng Ruan","doi":"10.1002/fut.22579","DOIUrl":"https://doi.org/10.1002/fut.22579","url":null,"abstract":"<p>In this paper, we investigate alternative one-factor and two-factor continuous-time models with both affine and non-affine variance dynamics for the Chinese options market. Through extensive empirical analysis of the option panel fit and diagnostics, we find that it is necessary to include both the non-affine feature and the multi-factor structure. For performance evaluation, we examine various measures from both aggregate and dynamic perspectives. Our results are statistically significant.</p>","PeriodicalId":15863,"journal":{"name":"Journal of Futures Markets","volume":"45 6","pages":"612-636"},"PeriodicalIF":1.8,"publicationDate":"2025-03-19","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://onlinelibrary.wiley.com/doi/epdf/10.1002/fut.22579","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143930265","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
Hedging Multiple Price Uncertainty in Soybean Export 大豆出口多重价格不确定性的对冲
IF 1.8 4区 经济学
Journal of Futures Markets Pub Date : 2025-03-17 DOI: 10.1002/fut.22581
Siun Lee, Dmitry Vedenov
{"title":"Hedging Multiple Price Uncertainty in Soybean Export","authors":"Siun Lee,&nbsp;Dmitry Vedenov","doi":"10.1002/fut.22581","DOIUrl":"https://doi.org/10.1002/fut.22581","url":null,"abstract":"<div>\u0000 \u0000 <p>Exporting companies encounter various sources of price uncertainty and can choose between hedging each risk separately or jointly. This study analyzes the differences between these strategies in terms of their performance. For practical analysis, we assume a representative exporter in the US that ships soybeans to Europe and faces input price risk (domestic soybean price) and output price risk (Euro/US dollar exchange rate). Our study reveals that joint hedging typically enhances hedging effectiveness (<i>HE</i>) the most, although the benefits may be limited in specific circumstances. We also find that the baseline level of risk stemming from the soybean price movement plays a crucial role in determining the performance of the hedging strategy. Higher market risks, such as a high soybean price and increased price volatility, contribute to better <i>HE</i>. Conversely, when the initial risk is low, such as in cases of depreciated domestic currency value, significant improvement in <i>HE</i> is less likely. Joint hedging allows simultaneous response to multiple risks, but single-commodity hedging is faster in responding to individual price risks, especially when this risk originates from the commodity that is being hedged. However, if a firm opts for single hedging and faces a price risk from an unhedged source, a significant loss in <i>HE</i> occurs compared with joint hedging. The study also confirms that price dependence affects <i>HE</i>, with higher dependence between spot and futures prices resulting in more effective hedging. In cases of high dependence between the two commodities' prices, joint hedging performs relatively better than single-commodity hedging due to the presence of offsetting risks. Our findings suggest that the choice between joint and single hedging should be tailored to the specific risk exposures faced by firms in the soybean and foreign exchange (FX) markets. This decision should take into account factors, such as shock means, shock volatilities, and dependencies between commodity and FX rates.</p>\u0000 </div>","PeriodicalId":15863,"journal":{"name":"Journal of Futures Markets","volume":"45 6","pages":"600-611"},"PeriodicalIF":1.8,"publicationDate":"2025-03-17","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143930468","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 4, April 2025 期货市场杂志：第45卷，第4期，2025年4月
IF 1.8 4区 经济学
Journal of Futures Markets Pub Date : 2025-03-10 DOI: 10.1002/fut.22520
{"title":"Journal of Futures Markets: Volume 45, Number 4, April 2025","authors":"","doi":"10.1002/fut.22520","DOIUrl":"https://doi.org/10.1002/fut.22520","url":null,"abstract":"","PeriodicalId":15863,"journal":{"name":"Journal of Futures Markets","volume":"45 4","pages":"267"},"PeriodicalIF":1.8,"publicationDate":"2025-03-10","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://onlinelibrary.wiley.com/doi/epdf/10.1002/fut.22520","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143581791","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
Real-Time Tracking of Public Announcements in the Limit Order Book 实时跟踪限价订单中的公告
IF 1.8 4区 经济学
Journal of Futures Markets Pub Date : 2025-03-10 DOI: 10.1002/fut.22577
Mehdi Arzandeh, Julieta Frank, Justin Daniels
{"title":"Real-Time Tracking of Public Announcements in the Limit Order Book","authors":"Mehdi Arzandeh,&nbsp;Julieta Frank,&nbsp;Justin Daniels","doi":"10.1002/fut.22577","DOIUrl":"https://doi.org/10.1002/fut.22577","url":null,"abstract":"<p>With the growth of information technology, market participants in futures markets can access new information and respond to it at a faster pace. We study the effect of the US Department of Agriculture's (USDA) reports, in real time, on the price discovery of five agricultural commodities. Using the information along the steps of the LOB, we develop a trading scheme to quantify the economic value of the information contained in the USDA reports. Informed traders become more aggressive in their trading strategies when the USDA reports are released during the trading sessions, whereas no impact is observed when reports are released outside the trading sessions. We also find that by incorporating the information embedded in the steps of the LOB when unwinding a large order, additional profits can be obtained on USDA report days. We attribute the additional profits to the information in the USDA reports.</p>","PeriodicalId":15863,"journal":{"name":"Journal of Futures Markets","volume":"45 6","pages":"569-599"},"PeriodicalIF":1.8,"publicationDate":"2025-03-10","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://onlinelibrary.wiley.com/doi/epdf/10.1002/fut.22577","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143930162","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
Joint Implied Willow Tree: An Approach for Joint S&P 500/VIX Calibration 联合隐含柳树：标准普尔500/VIX联合校准方法
IF 1.8 4区 经济学
Journal of Futures Markets Pub Date : 2025-03-10 DOI: 10.1002/fut.22572
Bing Dong, Wei Xu, Zhenyu Cui
{"title":"Joint Implied Willow Tree: An Approach for Joint S&P 500/VIX Calibration","authors":"Bing Dong,&nbsp;Wei Xu,&nbsp;Zhenyu Cui","doi":"10.1002/fut.22572","DOIUrl":"https://doi.org/10.1002/fut.22572","url":null,"abstract":"<p>Since the inception of Volatility Index (VIX) options trading, academic literature has persistently sought accurate methods for jointly calibrating the prices of the S&amp;P 500 index (SPX) and VIX options. This study introduces a novel nonparametric approach, called the joint implied willow tree (JIWT) method, aimed at resolving this joint calibration challenge. The resulting willow tree adheres to the martingale constraint for the SPX and ensures that the VIX is derived as the implied volatility of a 30-day log contract on the SPX. A notable advantage of our method is its ability to recover not only the unconditional probabilities for a fixed maturity but also the conditional probabilities across different maturities. Consequently, we reconstruct the entire term structure of the SPX, aligning it with market information from both SPX and VIX options. Numerical and empirical analyses demonstrate that the JIWT method excels in accurately capturing the volatility smile of SPX and VIX across various maturities.</p>","PeriodicalId":15863,"journal":{"name":"Journal of Futures Markets","volume":"45 6","pages":"547-568"},"PeriodicalIF":1.8,"publicationDate":"2025-03-10","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://onlinelibrary.wiley.com/doi/epdf/10.1002/fut.22572","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143930161","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
Forecasting the Market Returns And Portfolio Enhancement With Frequency-Decomposed Institutional Investor Sentiment: Evidence From the Taiwan Futures Market 基于频率分解的机构投资者情绪预测市场收益与投资组合增效：来自台湾期货市场的证据
IF 1.8 4区 经济学
Journal of Futures Markets Pub Date : 2025-03-09 DOI: 10.1002/fut.22580
Yi-Hsien Wang, Shu-Lien Chang, Hsiu-Chuan Lee, Donald Lien
{"title":"Forecasting the Market Returns And Portfolio Enhancement With Frequency-Decomposed Institutional Investor Sentiment: Evidence From the Taiwan Futures Market","authors":"Yi-Hsien Wang,&nbsp;Shu-Lien Chang,&nbsp;Hsiu-Chuan Lee,&nbsp;Donald Lien","doi":"10.1002/fut.22580","DOIUrl":"https://doi.org/10.1002/fut.22580","url":null,"abstract":"<div>\u0000 \u0000 <p>This study examines the predictive power of changes in institutional investor sentiment in the Taiwan futures market for forecasting stock index futures and aggregate stock market returns. Using wavelet decomposition, the results show that long-term sentiment changes outperform the buy-and-hold strategy, historical averages, undecomposed sentiment, and sentiment measures at other time scales in terms of predictive power and portfolio enhancement across the full sample. Additionally, a Markov-switching model is applied to identify bull and bear market regimes and then to assess portfolio enhancement performance within each regime. The empirical findings reveal that, in bull markets, the long-term sentiment-based strategy outperforms the benchmarks mentioned above. In bear markets, a medium-term sentiment-based strategy delivers significant improvements in portfolio enhancement performance compared to the same aforementioned benchmarks. These results deepen our understanding of how institutional investor sentiment influences asset returns and offer valuable insights for tailoring portfolio management.</p>\u0000 </div>","PeriodicalId":15863,"journal":{"name":"Journal of Futures Markets","volume":"45 6","pages":"521-546"},"PeriodicalIF":1.8,"publicationDate":"2025-03-09","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143930203","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
Closed-Form Approximation of Stock-Based Awards With Moving-Average Vesting Conditions 移动平均行权条件下股票奖励的封闭逼近
IF 1.8 4区 经济学
Journal of Futures Markets Pub Date : 2025-03-06 DOI: 10.1002/fut.22576
Ioannis Michopoulos, Alexandros Bougias, Andrianos E. Tsekrekos
{"title":"Closed-Form Approximation of Stock-Based Awards With Moving-Average Vesting Conditions","authors":"Ioannis Michopoulos,&nbsp;Alexandros Bougias,&nbsp;Andrianos E. Tsekrekos","doi":"10.1002/fut.22576","DOIUrl":"https://doi.org/10.1002/fut.22576","url":null,"abstract":"<div>\u0000 \u0000 <p>A market-based compensation award with a moving-average condition becomes vested when the <span></span><math>\u0000 <semantics>\u0000 <mrow>\u0000 \u0000 <mrow>\u0000 <mi>d</mi>\u0000 </mrow>\u0000 </mrow>\u0000 </semantics></math>-days moving-average stock price exceeds a predetermined threshold. The same mechanism applies to the economic characteristics of founder shares issued in connection with special purpose acquisition company (SPAC) transactions. This paper employs results from the valuation of barrier and Parisian options to provide a closed-form approximation on the fair value of market-based awards and SPAC transactions as a robust and fast alternative to Monte Carlo simulation techniques. Our method accounts for different exercise strategies, including immediate exercise upon vesting, exercise at maturity, and exercise at the midpoint between vesting and option maturity. We perform a plethora of numerical tests and conclude that our approximation performs well across different levels of equity volatility, risk-free interest rate, moving-average period, option moneyness, and time-to-maturity. We highlight the significant implications of our approach for companies, valuation practitioners, and audit teams.</p></div>","PeriodicalId":15863,"journal":{"name":"Journal of Futures Markets","volume":"45 6","pages":"497-520"},"PeriodicalIF":1.8,"publicationDate":"2025-03-06","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143930214","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
Price Discovery in China's Crude Oil Derivatives Market 中国原油衍生品市场的价格发现
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 期权定价模型复杂性评价
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 具有随机波动率、制度转换和随机市场流动性的欧式期权定价的封闭公式
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
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