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 … maturity does not exceed 40 days; it is for this subset of options that the pricing errors from other approaches are …

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

put and call options, of both the European and the American type. This relation, based on a change of numeraire …

dynamics of Eurodollar futures rates. The results suggest that future movements of interest rates are predictable only at very …

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 …

We provide an analytical and flexible framework to evaluate incentive options. Our model not only considers vesting … periods and trading and hedging restrictions on the holders, but also specifically includes provisions of reloading and … resetting to capture the fact that firms tend to grant more options after existing options are either exercised or become deep …

Portfolio managers use index futures for a variety of reasons. Regardless of their motivation, they will keep a close … eye on the relation between the futures and their stock portfolio returns. Whenever this relation is perceived to have … update hedged portfolios. This dynamic hedging algorithm is based on a Reverse Order Cusumsquare (ROC) testing procedure …