reduced-form stochastic-volatility models. We estimate the model using returns, options, and inventory and find that it …

spread for illiquid over liquid equity options is 3.4 percent per day for at-the-money calls and 2.5 percent for at … that market makers in the equity options market hold large and risky net long positions on average. We show that the …

Options on crude oil futures are the most actively traded commodity options. We develop a class of computationally … efficient discrete-time jump models that allow for closed-form option valuation, and we use crude oil futures and options data … crucial for modeling crude oil futures and futures options, and we find evidence in favor of time-varying jump intensities …

The cross-section of options holds great promise for identifying return distributions and risk premia, but estimating …