Wind energy projects represent, currently, a valid opportunity to support United Nations Sustainable Development Goal 7. However, these projects can appear financially unattractive considering the unfavorable meteorological conditions, uncertain electricity market price, uncertain market demand,...

A new explicit form is provided for the solution of optimal stopping problems involving a multidimensional geometric Brownian motion. A free-boundary value approach is adopted and the value function is obtained via fundamental solution methods. There are many applications for the valuation of...

The small-maturity implied volatility of an asset pricing model is fully determined by the asymptotics of traded option prices, and thus model-free expressions are available. We show how by sharpening one such expression it is possible to derive a general formula for the leading order of the...

Many attempts have been made to estimate market characteristics from options prices, none more well known than the Black Scholes model. Yet, no options pricing model is without significant criticism. And none are consistent with the characteristics of the market discussed in this paper. Prior to...

Equity index risk premia vary more than can be explained by market risks and pricing models. I show that index option intermediaries cause variation in risk premia to manage their option positions. When expected volatility is low, intermediaries hold risky short positions. Increasing risk and...

The objectives of option hedging/trading extend beyond mere protection against downside risks, with a desire to seek gains also driving agent's strategies. In this study, we showcase the potential of robust risk-aware reinforcement learning (RL) in mitigating the risks associated with...