transaction costs, becomes stochastically dominated when overlaid with a zero-net-cost portfolio of S&P 500 options bought at …. Similar results obtain with options on the CAC and DAX indices. The results are explained neither by priced factors nor a non …

We study the pricing of uncertainty shocks using a wide-ranging set of options that reveal premia for macroeconomic … role for "good uncertainty". Options for nonfinancials are particularly important for spanning macro risks and good … a simple extension of the long-run risk model …

Many financial instruments are designed with embedded leverage such as options and leveraged exchange traded funds … lowers required returns. Consistent with this hypothesis, we find that asset classes with embedded leverage offer low risk …-embedded-leverage securities and short high-embedded-leverage securities earns large abnormal returns, with t-statistics of 8.6 for equity options …

, systematic risk, and risk-averse investors. Firms optimally exercise American disclosure options, which are more valuable due to …We derive the effect of plausible deniability on asset risk premia in a dynamic setting with correlated firm values … nondisclosing firms. Risk premia rise (and average prices fall) prior to disclosures, because investors make inferences about …

guarantee makes put options on the financial sector index cheap relative to put options on its member banks. The basket … deep out-of-the-money options. The spread peaks at 12.5 cents per dollar, or 70% of the value of the index put. The rise in … the put spread cannot be attributed to an increase in idiosyncratic risk because the correlation of stock returns …

Widespread violations of stochastic dominance by one-month Samp;P 500 index call options over 1986-2006 imply that a …-2006 which may be due to the lower quality of the data but, in any case, does not provide evidence that the options market is …

We model the demand-pressure effect on prices when options cannot be perfectly hedged. The model shows that demand … options, especially out-of-money puts, which helps explain their apparent expensiveness and the smirk. Second, demand patterns … help explain the prices of single-stock options …

We document that the implied volatility skew of S&P 500 index puts is non-decreasing in the disaster index and risk …, as the disaster risk increases, customers demand more puts as insurance while market makers become more credit …