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 …

observation: limit orders are equivalent to a portfolio of cash-or-nothing and asset-or-nothing digital options on market order … trading or hedging of limit orders is not feasible. Fortunately, none of these problems is fatal since options on order flow …

large block of call options on its own stock. If the FDA approved the firm's new drug, the firm would have large cash needs …, which the options were designed to meet. We analyze this stated rationale for the firm's choice, applying the cash flow …

-varying volatility, skewness and kurtosis in fundamentals while still permitting closed-form solutions for asset prices. The model not …