guarantee makes put options on the financial sector index cheap relative to put options on its member banks. The basket … deep out-of-the-money options. The spread peaks at 12.5 cents per dollar, or 70% of the value of the index put. The rise in …

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 …

lower bounds on the reservation purchase price of these derivatives are derived in the presence of proportional transaction …

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 …

We study the pricing of uncertainty shocks using a wide-ranging set of options that reveal premia for macroeconomic … risks. Portfolios hedging macro uncertainty have historically earned zero or even significantly positive returns, while … role for "good uncertainty". Options for nonfinancials are particularly important for spanning macro risks and good …

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. " …

We propose a nonparametric method for estimating the pricing formula of a derivative asset using learning networks …-Scholes formula from a two-year training set of daily options prices, and that the resulting network formula can be used successfully … to both price and delta-hedge options out-of-sample. For comparison, we estimate models using four popular methods …

Widespread violations of stochastic dominance by one-month S&P 500 index call options over 1986-2006 imply that a …-2006 which may be due to the lower quality of the data but, in any case, does not provide evidence that the options market is …