financed with equity and zero-coupon bonds. By no-arbitrage, pseudo bonds are equivalent to Treasuries minus put options on …

index, can be hard to measure with accuracy due to the lack of precise prices for options with strikes in the tails of the … and systematize the information embedded in the derivatives markets. As such, the CIV measure may serve as a tool to …

transaction costs, becomes stochastically dominated when overlaid with a zero-net-cost portfolio of S&P 500 options bought at …. Similar results obtain with options on the CAC and DAX indices. The results are explained neither by priced factors nor a non …

open interest and volume for all contracts listed on the Chicago Board Options Exchange over the 1990 through 2001 period …

We model the demand-pressure effect on prices when options cannot be perfectly hedged. The model shows that demand … options, especially out-of-money puts, which helps explain their apparent expensiveness and the smirk. Second, demand patterns … help explain the prices of single-stock options …

-of-the-money S&P500 index options, such as Black-Scholes or historical minimum variance hedging, are inferior to the EPK hedging …This paper develops a method for option hedging which is consistent with time-varying preferences and probabilities … one-day ahead forecast of derivative price distributions and minimum variance hedge ratios. Empirical results suggest that …

Given a European derivative security with an arbitrary payoff function and a corresponding set of" underlying … securities on which the derivative security is based, we solve the dynamic replication problem: find a" self-financing dynamic …-dependent options and options on assets with stochastic volatility and jumps. " …