precision parameter of the DP process is calibrated to the amount of trading activity in deep-out-of-the-money options. We use …

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 …

I develop a noisy rational expectations equilibrium model with a continuum of states and a full set of options that … have important implications for price discovery through options …

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 …