procedure is implemented on prices of credit default swaps and equity options for GM and FORD over the period October 2004 to …

The concept of stress levels embedded in S&P 500 options are defined and illustrated with explicit constructions. The … scaling to the option maturity. Static hedging of basket options to a particular level of acceptability is shown to …

Realized variance option and options on quadratic variation normalized to unit expectation are analyzed for the … property of monotonicity in maturity for call options at a fixed strike. When this condition holds the risk neutral densities … analysis of squared log returns on the S&P 500 index also reveals such a decrease. If options are priced to a slightly …

equation driven by centered variance gamma shocks. VIX options are calibrated using the square root process. The OU equation … driven by centered variance gamma shocks is applied in pricing options on the ratio of the stock price for J. P. Morgan Chase … option pricing model to market data, we indirectly infer the prices for stock options on JPM from the prices for options on …

in deflated price processes is then addressed. Applications include the pricing of options on relativities and the asset …

by the solution of a partial integro differential equation. Options on the stock are then options on this function of the …