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 …

-instrument minimum-variance hedging strategies are derived analytically. Using S&P 500 options, we examine a set of alternative models … moneyness. But, for hedging, adding either jumps or stochastic interest rates does not seem to improve performance any further …

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 …

single-instrument minimum-variance hedging strategies are derived analytically. Using S&P 500 options, we examine a set of … does not "smile" across moneyness. But, for hedging, adding either jumps or stochastic interest rates does not seem to …

options, we find that when sampled intraday (or inter-day), (i) call (put) prices often go down (up) even as the underlying … consistent with observed option-price dynamics; options are not redundant securities, nor ideal hedging instruments---puts and …

framework only helps the pricing of extremely short-term options but not the hedging performance. Given that only options of … relatively short terms are used in existing studies, this paper addresses two related questions: Do long-term options contain … different information than short-term options? If so, can long-term options better differentiate among alternative models? Our …

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 …