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 …

, with evidence from listed firms in Taiwan, pricing options on stocks denominated in different currencies, with theory and … simple model free volatility in a high frequency world, arbitrage-free implied volatility surfaces for options on single … stock futures, the non-uniform pricing effect of employee stock options using quantile regression, nonlinear dynamics and …

introduce the new full truncation scheme, tailored to minimise the upward bias found when pricing European options. Thirdly and …