This paper examines the relationship between investor sentiment and stock index options. More specifically, it investigates the contrasting impact of individual and institutional investor sentiment on value and growth stock options. We take the Nasdaq 100 and Russell 2000 Growth indexes as...

This paper builds on existing asset pricing models in an intertemporal CAPM framework to investigate the pricing of options on interest rate futures. It addresses the issues of selecting the preferred pricing kernel model by employing the second Hansen-Jagannathan distance (HJD) criterion. This...

This paper develops closed-form solutions for the finite integrals in the volatility, cubic and quartic contracts in Bakshi, Kapadia and Madan (2003) which avoid discretization errors and do not involve interpolation and extrapolation. It compares the accuracy of the closed-form approach with...

The paper examines the relationship between both individual and institutional investor sentiment measures and the risk-neutral skewness (RNS) of seven stock index options comprising either growth or value stocks. It provides novel evidence that growth index option prices are affected by...

This paper builds upon and extends Bali and Murray (2013) to investigate skewness preferences when investors with heterogeneous expectations hold long skewness positions. When investors are pessimistic (either pessimistic or optimistic), their overconfidence produces a downward (upward) bias...

This paper builds on existing asset pricing models in an intertemporal capital asset pricing model framework to investigate the pricing of options on interest rate futures. It addresses the issues of selecting the preferred pricing kernel model by employing the second Hansen-Jagannathan distance...