This study derives approximate valuation formulas for basket options and Asian options under the jump‐diffusion process. To obtain an approximation for options prices under the jump‐diffusion process, we extend the Taylor expansion method developed by Ju N. (<link href="#bib18">2002</link>) under the diffusion...

This paper studies a Markov chain model that, unlike the existing models, has a stochastic default rate model so as to reflect real world phenomena. We extend the existing Markov chain models as follows: First, our model includes both the economy‐wide and the rating‐specific factors, which...

The authors suggest a modified quadratic approximation scheme, and apply this scheme to American barrier (knock‐out) and floating‐strike lookback options. This modified scheme introduces an additional parameter into the quadratic approximation method, originally suggested by G....

This study examines the impacts of net buying pressure on implied volatility, and documents the fact that Bollen and Whaley (2004)'s net buying pressure hypothesis does not hold in the daily data of the KOSPI200 options market. In addition, using intraday data, we show that the net buying...

We develop a conditional version of the consumption capital asset pricing model (CCAPM) using the conditioning variable from the cointegrating relation among macroeconomic variables (dividend yield, term spread, default spread, and short-term interest rate). Our conditioning variable has a...

We develop a conditional version of the consumption CAPM using the conditioning variable derived from the cointegrated relationship among macroeconomic variables (dividend yield, term spread, default spread, and short-term interest rate). Our conditioning variable has a strong power to predict...

We develop a conditional version of the consumption CAPM using the conditioning variable from the cointegrating relation among macroeconomic variables (dividend yield, term spread, default spread, and short-term interest rate). Our conditioning variable has a strong power to predict market...

<section xml:id="fut21651-sec-0001"> We examine whether and how investors establish positions in options when they have negative information in the U.S. markets from August 2004 to January 2009. Our empirical results show that options seem to be actively and effectively used for the exploitation of negative information. General...</section>