STUDIES OF WORLD CAPITAL market efficiency have typically focused on the merits of
diversification, the comovement of equity prices, or the lead-lag rela-tionship among market …

We develop a straightforward procedure to price derivatives by a bivariate tree when the
underlying process is a jump-diffusion. Probabilities and jump sizes are derived are derived by …

This paper investigates the effects of stochastic convenience yields, stochastic interest rates,
and jumps in the spot price on the pricing of commodity futures, forwards, and futures …

Empirical evidence shows that log‐return relatives on commodity futures prices are not
normally distributed. This departure from normality seems to be caused by large price changes …

A bivariate binomial options pricing technique is used to value prepayment and default options
in a fixed-rate mortgage. By forcing the two underlying state variables (real-estate value …

A WIDELY received article by Jaedicke and Robichek (1964) develops a procedure for
approximating the distribution of profit in a Cost-Volume-Profit (CVP) model where sales volume, …

This study develops a currency option pricing model under stochastic interest rates when
interest rate parity holds, and it is assumed that domestic and foreign bond prices have local …

We investigate Bitcoin pricing characteristics and find evidence of jumps and positive
convenience yield. We develop a theoretical jump diffusion model for options on spots and use …

Univariate procedures for valuing contingent payoffs for a non-constant volatility process via
a recombining tree were developed by Nelson and Ramaswamy (RFS, 1990). Their results …

We develop a method for determining the significance of the effect of a certain event (stock
split, corporate restructuring, change in regulation, etc.) on unsystematic volatility of asset …