Price discovery in the aluminum market

Article Abstract:

The study conducted to examine how a extended version of decomposition and latent variable approach proposed by S. Beveridge and C.R. Nelson are used to test the noise content and in formativeness of aluminum prices. The four aluminum prices that were quoted since 1970 and the transaction prices published in a trade journal and traded at LME (London Metal Exchange) and Comex exchange prices are examined and the conclusions are presented.

United Kingdom, Commodity & service prices, Primary aluminum, Metal ores, not elsewhere classified, Prices and rates, Aluminum, Aluminum (Metal), Aluminum industry, Company pricing policy

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The pricing of foreign currency options under jump-diffusion processes

Article Abstract:

The article presents a study about the effects of exchange rate dynamics governed by jump diffusion processes on the valuation of foreign exchange options. A general equilibrium international asset pricing model was used to trace these effects.

South Korea, Pricing Policy, Models, Pricing, Equilibrium (Economics), Product price

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Pricing foreign equity options under Levy process

Article Abstract:

The conclusions of a study conducted to examine the valuation of a foreign equity option, whose value depends on the foreign equity prices and exchange rates and which are driven by multidimensional Levy process are presented.

United States, Capital funds & cash flow, Options (Finance), Valuation

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