-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 …

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 … moneyness, a result we use to infer skewness and kurtosis from volatility smiles. Evidence suggests that both kurtosis in …

European style options for various maturities. The beauty of this model is to have used the standard GARCH theory in an option … given its ability to price one-day ahead out- of-sample call options and also its ability to capture the empirical dynamic … of the volatility skew. We get severe mispricing for deep out- of-the-money and short term call options, which tend to …