We propose model-free (nonparametric) estimators of the volatility of volatility and leverage effect using high-frequency observations of short-dated options. At each point in time, we integrate available options into estimates of the conditional characteristic function of the price increment...

The monthly trading volume and proportion of Zero-Day-to-Expiry (0DTE) options have increased from zero to 26 million contracts and from zero to 40% between 2011 and 2022. We study how 0DTE option trading affects the volatility of the underlying asset. We find that more 0DTE options trading...

In this paper, we introduce two methods to solve the American-style option pricing problem and its dual form at the same time using neural networks. Without applying nested Monte Carlo, the first method uses a series of neural networks to simultaneously compute both the lower and upper bounds of...

We analyze the joint cross-section of monthly S&P500 stock index options and monthly CBOE Volatility Index options by constructing and evaluating option combinations that appear undervalued for all permissible values of the latent parameters of the unifying option pricing model and the joint...

This study employs machine learning models to forecast and comprehend the implied volatility of China ETF50. We develop a hybrid model named LSTM-ML, leveraging historical implied volatility, moneyness, and time-to-maturity as input features. The LSTM component captures dynamic hidden...

Determining optimal exercise boundaries has been central to pricing American options. Ingersoll (1998) offers an alternative to approximating option prices using simple barrier derivatives. Using pricing formulas for multi-step barrier options with a rebate, we generalize it to value American...

This paper studies the pricing of discrete arithmetic Asian options (AAOs) with fixed strikes under the Hull-White interest rate model. For the pricing of AAOs, we first investigate the stochastic dynamics of the price of the underlying asset under the T-forward measure, and then study the...

This paper conducts a first look into the regulated Bitcoin options market in the United States. Compared to stock options, bitcoin options tend to be ten times more illiquid as measured by bid-ask spreads. The illiquidity significantly affects bitcoin options pricing: Given that investors are...