It is well known that risk increases the value of options. This paper makes that precise in a new way. The conventional …

Recent changes in farm policy have renewed interest in using marketing strategies based on futures and options markets … theory of the behavior of futures and options markets, the efficient market hypothesis. The following conclusion is reached …

under ESOs’ expense-postponing function, it is not under the employee-stimulating function. In practice, ESOs’ risk …

framework for incorporating these findings into the Black- Scholes risk-neutral valuation framework. This paper provides the … to incorporate the various degrees of persistence into the Black-Scholes pricing formula. Long memory options are of … considerable importance in corporate remuneration packages, since stock options are written on a company's own shares for long …

contrary to conventional wisdom, we show that forwards dominate options as hedges of downside risk. …This paper characterizes optimal currency hedging in several models of downside risk. We consider, in turn, three …

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

value of $1 invested in the market when long-term investors wish to insure against downside risk on a year-to-year basis …. These results have implications regarding how risk-free debt is priced and about the economy’s capital structure. …