We evaluate price discovery in the natural gas futures and futures options markets using a transaction based approach. By sampling market maker prices, we allow

The book begins by building upon the established, conventional principles of finance that you've have already learned in your principles course. The authors the

Option prices vary with not only the underlying asset price, but also volatilities and higher moments. In this paper, we use a portfolio of options to seclude t

Automated trade execution systems are examined with respect to the degree to which they automate the price discovery process. Seven levels of automation of pric

In frictionless and rational markets, perfect substitutes must have the same price. In markets with trading costs, however, price differences may be as large as