procedure. I parameterize the underlying exchange rate process as a mixture of log-normals, price the options using Monte Carlo …

strategies are also investigated, allowing for limited short selling and the inclusion of synthetic options in the security set. …

equity options. We find that expectations for future shocks decrease leverage and are statistically significant even when we …

dramatically and permanently changed the shape of the implied volatility curve for equity index options. Here, we propose a general … equilibrium model that captures many salient features of the U.S. equity and options markets before, during, and after the crash … shortmaturity at-the-money and deep out-of- the-money S&P 500 put options, as well as the prices of individual stock options …

equity index options, despite minimal changes in aggregate consumption. We explain these events within a general equilibrium … individual stock options, equity returns, and interest rates. …

European style options for various maturities. We analyze the validity of the model 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. First, we get a … severe mispricing for deep out-of-the-money and short term call options. Second, this model reveals a good ability to capture …