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 …

theorems of asset pricing. While inferring the risk-neutral measure from options data provides a naturally forward- looking …

form pricing formula for European options is obtained by employing a modified Gram-Charlier series expansion, known as the …

We analyze American put options in a hyper-exponential jump-diffusion model. Our contribution is threefold. Firstly, by … the American early exercise premium. Finally, using American-style options on S&P 100 index from 2007 until 2013, we …

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 …