sensitivities to chosen risk factors. I test these portfolios empirically and find that options signifi cantly improve the risk …

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

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 …

a single day and over an average of different days with options expiring at the same maturity. We also evaluate the …

measure. An extensive empirical analysis of S&P 500 index options illustrates that our approach significantly outperforms …

the options market and the class of valuation problem being undertaken. Various examples are studied in detail, with exact …

We introduce a novel semi-parametric estimator of the price of American options in a discrete time, Markovian framework …-free bond, the underlying asset and a cross-section of observed prices of American options written on it. We use the dynamic …-arbitrage restrictions. We use the estimator to compute the price of American options not traded in the market by recursive valuation. Other …

, hedging and super-hedging options for a large trader, utility maximization in illiquid markets and price impact models with …