Risk premia in the ruble/dollar futures market

Article Abstract:

There is a time varying risk premium involved in the futures contract on the ruble/US dollar exchange rate at the Moscow Commodity Exchange. The history of the futures trading may be divided into three subperiods. The first period from Nov. 1992 until fall 1993 involved only a low volume traded by small and medium-sized firms. Banks started trading during the second period when the volume increased tenfold. The last period from the spring of 1994 until Oct. 1995 saw another tenfold increase to a volume of 35 million per day, with corporations and financial institutions participating.

Russia, Securities, Commodity exchanges, Moscow, Russia (City)

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A flexible binominal option pricing model

Article Abstract:

A study was conducted on a flexible binominal option pricing model with a "tilt" parameter that changes the span and shape of the binominal tree. The model is a simple generalization of the original Cox, Ross, and Rubinstein binominal model, which equals to to the flexible binominal model with a zero tilt parameter. Aside from converging with any value of the tilt parameter, the flexible binominal model lets certain changes to the binominal tree to have a more accurate standard options and barrier options.

Stock Options, Models, Executive compensation

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