-issued options. These markets exist side-by- side, offering many options with identical or similar characteristics. We motivate the …

In this paper, we compare option contracts from a traditional derivatives exchange to bank-issued options, also … counterparty for bank-issued options, they frequently exist side-by-side, and the empirical evidence shows that there is …-issued options have smaller quoted percentage bid-ask spreads than traditional option contracts by an average of 4.3%. The bid …

contrary to conventional wisdom, we show that forwards dominate options as hedges of downside risk. …

to incorporate the various degrees of persistence into the Black-Scholes pricing formula. Long memory options are of … considerable importance in corporate remuneration packages, since stock options are written on a company's own shares for long … valuation of such stock options, the degrees of persistence of the companies' share markets must be precisely measured and …

of persistence into the binomial and Black-Scholes pricing formulas. Long memory options are of considerable importance …

Prices of currency options commonly differ from the Black-Scholes formula along two dimensions: implied volatilities … vary by strike price (volatility smiles) and maturity (implied volatility of at­the­money options increases, on average …

We document a surprising pattern in market prices of S&P 500 index options. When implied volatilities are graphed …

with FX sensitive cross-currency convertibles. A technique for extracting the price of vanilla options struck on a … synthetic asset, the foreign equity in domestic currency, is employed to obtain the implied volatility for these options. These …