The illiquidity of long-maturity options has made it difficult to study the term structures of option spanning …

participating bank receives contingent capital by issuing preferred shares to the Treasury combined with embedded options for both … options held by the buyer and issuer of these securities creates a game between the two parties, and our approach captures …

literature suggests that even in the absence of any ability to predict returns, holding options positions on the benchmark assets …. The enhancement from holding options can be substantial if the implied volatilities of the options are higher than the … volatilities of the benchmark returns. -- Alpha ; hedge funds ; mutual funds ; portfolio management ; options …