There is a general argument saying that adding derivative securities (options) to a financial market makes the market …

The pricing problem of options with an early exercise feature, such as American options, is one of the important topics … in mathematical finance. The pricing formulas for American options, however, have not been found in general and the … numerical methods are required to derive the price of these options, besides some exceptions, such as perpetual American options …

equilibrium allocations in options. Agents derive financial and non-tradeable income over time; they can only partially offset the …-sharing demand in options and explains that teh financial innovation would then "fail," and discusses the conditions under which the …

a more precise modeling of the implied volatility smile. Through the use of both simulations and actual options data on …

We develop a new approach to valuing and hedging basket options. We consider baskets of assets with potentially … negative portfolio weights (spread options are a subclass of such basket options). The basket distribution is approximated … the hedging error. We analyze the option price sensitivities with respect to the assets' volatilities and correlations …