Investors in option markets price in a substantial collective government bailout guarantee in the financial sector …

We propose a nonparametric method for estimating the pricing formula of a derivative asset using learning networks … network pricing formulas, we simulate Black-Scholes option prices and show that learning networks can recover the Black …

trading in the underlying security is allowed over the life of the option. A tight upper bound is derived on the reservation …

state-price density (SPD). We construct an estimator for the SPD implicit in option prices and derive an asymptotic sampling … theory for this estimator to gauge its accuracy. The SPD estimator provides an arbitrage-free method of pricing new, more …-pricing perspective, e.g., negative skewness and excess kurtosis for asset returns, volatility 'smiles' for option prices. We perform …

to compute more complicated derivative securities …

Derivative contracts, swaps, and repos enjoy "super-senior" status in bankruptcy: they are exempt from the automatic …, even though this risk could be borne more efficiently by derivative counterparties. In addition, because super …-senior derivatives dilute existing creditors, they may lead firms to take on derivative positions that are too large from a social …

mandate, market participants have the option to trade currency futures on existing futures markets which standardize …