-issued options. These markets exist side-by- side, offering many options with identical or similar characteristics. We motivate the …

In this paper, we compare option contracts from a traditional derivatives exchange to bank-issued options, also … counterparty for bank-issued options, they frequently exist side-by-side, and the empirical evidence shows that there is …-issued options have smaller quoted percentage bid-ask spreads than traditional option contracts by an average of 4.3%. The bid …

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 …

European style options for various maturities. The beauty of this model is to have used the standard GARCH theory in an option … given its ability to price one-day ahead out- of-sample call options and also its ability to capture the empirical dynamic … of the volatility skew. We get severe mispricing for deep out- of-the-money and short term call options, which tend to …

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 …

well approximated by the value of a particular portfolio of options. Ignoring the small approximation error, the difference … options data set, we synthesize variance swap rates and investigate the historical behavior of variance risk premia on five …

most undesirable property of the failed models is the high correlation with the underlying interest rate and options …