announcements and use at-the-money options to exploit their informational advantage. In the post-event period, however, informed … option investors trade by using deep-out-of-the-money and out-of-the-money options. We documented limited evidence on the …

The valuation of options and many other derivative instruments requires an estimation of exante or forward looking … volatility estimates more closely approximate the implied volatility of stocks derived from traded call and put options prices …

with the ability to hedge long-dated linear and non-linear oil liabilities with short-dated futures and options. This paper … hedging long-dated futures and options with their short-dated counterparts, we find that the long-term tracking errors are, on …

processes with independent increments. Calibrations are illustrated for data on 2695 options across 28 maturities for SPY as at …

sample of options with characteristics of relevance in real-life applications, the symmetric method performs much better on … average than the regular pricing method, is the best method for most of the options, never performs poorly and, as a result …. Using the symmetric method to price, for example, real options, many of which are call options with long maturities on …