expansion to price options when the risk-neutral density is asymmetric and leptokurtic. Amongst them, one can distinguish the …

Several authors have proposed series expansion methods to price options when the risk-neutral density is asymmetric and … sensitivities of option prices to shifts in skewness and kurtosis using parameter values from Corrado- Su (1996) and Brown …-Robinson (2002), and market data from the French options market. We show that di¤erences between the original, corrected, and our …

We provide an analytical and flexible framework to evaluate incentive options. Our model not only considers vesting … resetting to capture the fact that firms tend to grant more options after existing options are either exercised or become deep … out of the money. By treating the incentive option as a flow of barrier options, we are able to obtain a near …

literature suggests that even in the absence of any ability to predict returns, holding options positions on the benchmark assets …. The enhancement from holding options can be substantial if the implied volatilities of the options are higher than the …

While most empirical analysis of prediction markets treats prices of binary options as predictions of the probability …

commodity-exporting countries. We show that the introduction of hedging instruments such as futures and options enhances …