traded in SPX option markets. The price of the smile reflects two persistent volatility and skewness risks, which imply a …

-term decline - in the variance risk premium, and time variation in conditional skewness. We also introduce two new data series …: implied volatility from one-day options on grains for the period 1906-1936, and on cliquet options, which provide insurance …-dated options. Finally, we discuss new avenues for future research …

highly attractive skewness-kurtosis profi le. In the presence of transactions costs that depend on an option's moneyness and … sensitivities to chosen risk factors. I test these portfolios empirically and find that options signifi cantly improve the risk …

the options market and the class of valuation problem being undertaken. Various examples are studied in detail, with exact …

We analyze the impact of funding costs and margin requirements on prices of index options traded on the CBOE. We …

We develop statistical methods to detect informed trading in options markets. We apply these methods to 31 companies … tends to cluster prior to certain events, takes place more in put than call options, generates easily large gains exceeding … millions, is not contemporaneously reflected in the underlying stock price, involves around the money options during calm times …