Value-at-Risk (VaR) using options follows a geometric Brownian. The optimal solution specifies the VaR-minimizing level of … the optimal strike price of these options is increasing in the asset's drift, decreasing in its volatility for most …

-coupon bond options and dynamics of the forward rate curve, under both the actual and risk-neutral measure, in terms of a finite …

-yen, and mark-yen options from January 1989 to May 1995. As a forecast of realized correlation between the dollar-mark and …

sale restrictions. We use a new and comprehensive sample of options on individual stocks in combination with a measure of … are maintained even in the presence of transactions costs both in the options and equity lending market. These violations … options markets. Moreover, the extent of violations of put-call parity and the rebate rate spread for individual stocks are …

index, can be hard to measure with accuracy due to the lack of precise prices for options with strikes in the tails of the …

large block of call options on its own stock. If the FDA approved the firm's new drug, the firm would have large cash needs …, which the options were designed to meet. We analyze this stated rationale for the firm's choice, applying the cash flow …