Based on a rational option pricing framework that incorporates short-selling and margin-trading constraints in the stock market, we present evidence that Chinese warrant prices, which are regarded as bubbles in the previous literature, can be explained by a new option pricing model. Based on the...

Volatility long memory is a stylized fact that has been documented for a long time. Existing literature have two ways to model volatility long memory: component volatility models and fractionally integrated volatility models. This paper develops a new fractionally integrated GARCH model, and...

Recent work by Engle and Lee (1999) shows that allowing for long-run and short-run components greatly enhances a GARCH model's ability to fit daily equity return dynamics. Using the risk-neutralization in Duan (1995), we assess the option valuation performance of the Engle-Lee model and compare...

This paper presents a new model for the valuation of European options, in which the volatility of returns consists of two components. One of these components is a long-run component, and it can be modeled as fully persistent. The other component is short-run and has a zero mean. Our model can be...

Recent work by Engle and Lee (1999) shows that allowing for long-run and short-run components greatly enhances a GARCH model's ability fit daily equity return dynamics. Using the risk-neutralization in Duan (1995), we assess the option valuation performance of the Engle-Lee model and compare it...

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...

This paper presents a new robust predictor for option returns: the uncertainty of put-call parity violation (VVS). We find that the delta-hedged equity option return decreases monotonically with VVS. Although VVS is highly correlated with the classical uncertainty and limit-to-arbitrage...

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...

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

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...