This paper examines the cross-dynamics of volatility term structures implied by foreign exchange options. The data used … in the empirical analysis consist of daily observations of implied volatilities for OTC options on the euro, Japanese yen …

time but much less than implied volatilities. Estimates of risk aversion based on the physical skewness and kurtosis of …

the prices of options on Euribor futures. It is the first official and freely available dataset to span the complete … history of Euribor futures options, thus comprising over ten years of daily data, from 13 January 1999 onwards. Time series of …

time but much less than implied volatilities. Estimates of risk aversion based on the physical skewness and kurtosis of …

During the last decade, markets for covered warrants (bank-issued options) have flourished in Europe and Asia. In these … trades in call options on the German DAX index, this paper documents substantial price dispersion across securities that are … close substitutes. Moreover, investors generally fail to identify attractively priced options. The results suggest that the …