pressure in one option contract increases its price by an amount proportional to the variance of the unhedgeable part of the … option. Similarly, the demand pressure increases the price of any other option by an amount proportional to the covariance of … show that demand-pressure effects contribute to well-known option-pricing puzzles. Indeed, time-series tests show that …

This paper examines a path-dependent contingent claim called the window double barrier option, including standard but … also more exotic features such as combinations of single and double barriers. Price properties and hedging issues are …

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 …