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 …

volatility or options prices. We develop a formal Bayesian framework where we can merge the backward looking information as … reported options prices. We apply our theory in forecasting the prices of FTSE 100 European Index options. We find that for … forecasting options prices out of sample (i.e. one-day ahead) our Bayesian estimators outperform standard forecasts that use …

The fact that the expected payoffs on assets and call options are infinite under most log-stable distributions led Paul … Fourier Transform (FFT) can be used to quickly evaluate options directly from the characteristic function of any RNM. The log …-stable RNM characteristic function presented here therefore greatly facilitates the pricing of options on log-stable assets, by …