From interbank interest rate option prices, we obtain the implied market expectations for interest rates using a genetic algorithm and a multifactor term structure model. We further analyse how those expectations differ for a subset of options and futures, and whether those expectations...

This paper examines the performance from 1996 to 2020 of mean-variance efficient portfolios of monthly options with all available strikes on each of the S&P 500, Nasdaq 100, and Dow Jones indexes, using a constrained optimization approach that incorporates position limits, transaction costs, and...