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 …

The volatility information content of stock options for individual firms is measured using option prices for 149 U …, but the option forecasts are nearly always more informative for those firms that have the more actively traded options …. When the prediction horizon extends until the expiry date of the options, the option forecasts are more informative than …

We investigate the association of various firm-specific and market-wide factors with the riskneutral skewness (RNS …) implied by the prices of individual stock options. Our analysis covers 149 U.S. firms over a four-year period. Our choice of … firms is based on adequate liquidity and trading interest across different strike prices in the options market, ensuring …

-looking information from the options market and can be used to construct an implied estimator of the covariance, co-skewness, and co …