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

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 …

methods is crucial to avoid arbitrage. We propose a novel method for accelerating the pricing of American options to near …

We show that options written on stocks with low prices are over-priced. This effect is robust to a variety of tests … corroborate this finding; options tend to become relatively more expensive following stock splits; and options on mini-indices are … overpriced relative to options written on otherwise identical regular-priced indices. Our evidence suggests that (less …

In recent years, a liquid market for options on a broad credit default swap index (CDX) has developed. We study the … extent to which these options are priced consistently with options on a broad equity index (SPX). We consider a rich … derive analytical expressions for CDX and SPX options. Calibrating the model, we find that it captures many aspects of the …

We find that single-name options trading increases the absolute level of information content of prices (stock price … causality by using a difference-in-difference approach using regulatory changes as an exogenous shock on equity options trading … disclosure. The findings are driven by firms with higher information asymmetry and firms with more efficiently priced options …

The present article studies geometric step options in exponential Lévy markets. Our contribution is manifold and … derive various characterizations for both European-type and American-type geometric double barrier step options. In … American-type geometric down-and-out step call options under hyper-exponential jump-diffusion models. Lastly, we use the latter …

increase in the price of put options in individual stocks. Part of this skewness risk premium is idiosyncratic. Frictions on …This paper implements a novel model-free methodology to measure skewness risk premia in individual stocks. The … methodology takes the form of a trading strategy, a skewness swap. The return on the strategy shows a significant positive …