This paper demonstrates that perfectly calibrating a multi-asset model to observed market prices of all basket call options is insufficient to uniquely determine the price of a best-of call option. Previous research on multi-asset option pricing has primarily focused on complete market settings...

Financial markets (and more generally the real economy) display a wide range of important nonlinearities. This paper focuses on stock returns, which are skewed left - generating crashes - and have volatility that moves over time, is itself skewed, is strongly related to the level of prices, and...

This study examines the performance of trading strategies based on beta, idiosyncratic volatility (IVOL), MAX (lottery behavior), skewness, and tail risk in five major Asian markets, using data from 1999 to 2021. The most important determinant of cross-sectional differences in strategy premiums...