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 …

options, traded on the options exchange, exist.Both entitle their holders to buy shares of common stock.We use the long …-term call options in order to price the call warrants.Using the model of Black and Scholes (1973), the Square Root model version …

models are applied to better-of-two-markets and worse-of-two-markets options on the S&P500 and Nasdaq indexes.Results show …

mo- mentum. This paper studies the pricing of options in such a situation, within a new model in which the dividend yield …, moreover, it renders preference-free formulas for European options. A momentum- inducing dividend yield implies that calls will … out-of-the money options. …

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 …