Time variation in the tail behavior of Bund future returns

Article Abstract:

The presence of heavy tails in the distribution of Bund future returns is examined and it is found that thin tails are present in the distribution of low-frequency returns of the Bund future while daily data has heavy tails. The tail index contains important information for financial market risk assessment beyond that captured in standard volatility measures.

Venture Analysis, Risk assessment, Futures market, Futures markets, Financial markets

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Knock-in American options

Article Abstract:

Analytic price formulas, which posses different analytic representations, for knock-in American options under the Black-Scholes pricing framework are presented. Also, to illustrate the efficacy of the price formulas, numerical valuations are performed.

Analysis, Currency options, Dollar (United States), Value (Economics)

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