This paper presents a methodology for arriving at empirical estimates of deposit insurance
premiums from market data by using isomorphic relationships between equity and a call …

In the energy markets, in particular the electricity and natural gas markets, many contracts
incorporate flexibility-of-delivery options known as “swing” or “take-or-pay” options. Subject to …

In this paper, we demonstrate the need for a negative market price of volatility risk to recover
the difference between Black–Scholes [Black, F., Scholes, M., 1973. The pricing of options …

The purpose of this paper is to estimate the “market price of risk” (MPR) for energy commodities,
the ratio of expected return to standard deviation. The MPR sign determines whether …

The daily and intraday behavior of returns on Chicago Board Options Exchange options is
examined. Option returns contain systematic patterns even after adjusting for patterns in the …

For the valuation and implementation of renewable energy investments, the issue of providing
private investors with a financial incentive to accelerate their investment is frequently a …

This paper derives and tests a new linear programming (LP) approach to bond portfolio
management. The model elicits possible tax-clientele effects in the pricing of US Government …

This paper develops and tests arbitrage bounds for a combination of two option spread positions
known as a box spread. This strategy involves the simultaneous use of four options and …

The paper extends the option-theoretic framework for the estimation of risk-adjusted deposit
premiums to the calculation of risk-based capital adequacy standards. Based on market …

In this paper we examine the extent of the bias between Black and Scholes (1973)/Black (1976)
implied volatility and realized term volatility in the equity and energy markets. Explicitly …