generalized feature will improve option pricing and hedging performance. This paper fills this gap by first developing an … implementable option model in closed form that allows volatility, interest rates and jumps to bestochastic and that is parsimonious …-of-sample pricing and (3) hedging performance. The models of focus include the benchmark Black-Scholes formula and the ones that …

each generalized feature will improve option pricing and hedging performance. This paper fills this gap by first developing … an implementable option model in closed form that allows volatility, interest rates and jumps to be stochastic and that …-series data, (2) out-of-sample pricing and (3) hedging performance. The models of focus include the benchmark Black …

, within the framework of the stock-bond pricing model proposed in Mamaysky (2002). The key advantage of the model … to the data). Furthermore, the fact that the present model accomodates jointly the pricing of both bonds and stocks …

This article empirically analyzes some properties shared by all one-dimensional diffusion option models. Using S&P 500 … for time-decay and market microstructure effects. Therefore, one-dimensional diffusion option models cannot be completely … consistent with observed option-price dynamics; options are not redundant securities, nor ideal hedging instruments---puts and …

Recent empirical studies find that once an option pricing model has incorporated stochastic volatility, allowing … distinct hurdles on any candidate option pricing model. While the data suggest that it is not as important to model stochastic … interest rates to be stochastic does not improve pricing or hedging any further while adding random jumps to the modeling …

reverting diffusion processes. These solutions are consistent with the Black-Scholes option formula so that they can be easily …

. Hedge ratios and other comparative statics are provided analytically. It is shown that most existing currency option models …

. Hedge ratios and other comparative statistics are provided analytically. It is shown that most existing currency option …

. Three types of digitals are used: a digital option paying either one dollar or nothing, a digital share paying nothing or …