model is also able to capture key patterns of CME Comex gold futures prices from about 1990 onwards. The model implies that …

risk of hedging options exposures have declined, consistent with a model in which intermediaries drive option prices …The historical returns on equity index options are well known to be strikingly negative. That is typically explained … demanding a premium for hedging risk. This paper examines the consistency of those explanations with returns on dynamically …

: 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 …

We measure investors' short- and long-term stock-return expectations using both options and survey data. These …

Perpetual futures are contracts without expiration date in which the anchoring of the futures price to the spot price … various perpetual contracts, including linear, inverse, and quantos futures in both discrete and continuous-time. In … particular, we show that the futures price is given by the risk-neutral expectation of the spot sampled at a random time that …

-war announcements, we find that an increased outflow risk faced by funds leads to more aggressive flow-hedging portfolio tilts …