European style options for various maturities. We analyze the validity of the model given its ability to price one-day ahead … out-of-sample call options and also its ability to capture the empirical dynamic of the volatility skew. First, we get a … severe mispricing for deep out-of-the-money and short term call options. Second, this model reveals a good ability to capture …

discrepancy between the IV smiles for levered and unlevered ETF options. We construct bootstrap uniform confidence bands which … options which possibly have a positive value at the point of creation and non-negative value at the expiration time. An … ETF options to construct theoretical one-step-ahead implied volatility surfaces. The codes used to obtain the results in …

simultaneously-traded European-style options. …

interpreted as volatility, skewness and tail factors.We also find evidence for term structure variation. …