equity options. We find that expectations for future shocks decrease leverage and are statistically significant even when we …

procedure. I parameterize the underlying exchange rate process as a mixture of log-normals, price the options using Monte Carlo …

dramatically and permanently changed the shape of the implied volatility curve for equity index options. Here, we propose a general … equilibrium model that captures many salient features of the U.S. equity and options markets before, during, and after the crash … shortmaturity at-the-money and deep out-of- the-money S&P 500 put options, as well as the prices of individual stock options …

equity index options, despite minimal changes in aggregate consumption. We explain these events within a general equilibrium … individual stock options, equity returns, and interest rates. …

data from the 24-hour E-mini S&P 500 options market. We find that option prices do not jump simultaneously across strikes … and maturities and are uncorrelated with jumps in the underlying futures price. 14% to 28% of detected option price jumps …