This paper assesses whether the market valuation of gold mining firms contain a premium for the option to close. Tests … paper assesses the relevancy of the option to close for mining firm valuation. This is achieved by examining 41 Australian … degree of association between the actual (market determined) and theoretical option premiums on the basis of the overall …

to provide a forecasting competition. We analytically demonstrate the option maturity effect on the sensitivity of the …

I examine the effects of return predictability on option prices for the market portfolio in the presence of stochastic … volatility and/or stochastic interest rates. The analysis is implemented in an equilibrium framework where a consistent option … the mean-reverting and heteroskedastic features of aggregate dividends. It is shown that risk-neutral option pricing model …

Stock Exchange Capitalization Weighted Stock Index Option (TXO) was introduced by the Taiwan Futures Exchange on December 24 … effects also exist with regard to the volatilities on both the equity and option markets. The greatest volatility appears on …