short-term options exhibiting similar moneyness, pricing errors tend to decrease with the time to maturity. … departures from the observed prices can be seen for the deep out-of-the-money short-term call options where mispricing seems to … comparative empirical analysis with recent approaches to this problem is made for European out-of-the-money call options for which …

index options, one needs to incorporate an infinite activity jump component in the underlying asset return process, and also …