investigate the volatility smile derived from liquid call and put options on the Polish WIG20 index which option series expired on … volatilities for moneyness points needed were calculated, then we construct 355 smile curves for calls and puts options to study …

financial crisis. To this end, we derive risk-neutral densities from the implied volatilities of FX options, which approximate …-of-sample predictive power of indicators. The forecasting results suggest that models based on FX options are inferior to the random walk …

, predictable, and options appear calibrated to incorporate information about future jumps in all three markets. …

equity index options, despite minimal changes in aggregate consumption. We explain these events within a general equilibrium … individual stock options, equity returns, and interest rates. …

The volatility information content of stock options for individual firms is measured using option prices for 149 U …, but the option forecasts are nearly always more informative for those firms that have the more actively traded options …. When the prediction horizon extends until the expiry date of the options, the option forecasts are more informative than …

currency options are employed to recover the impact of interventions on the variability of exchange rates. A contingent claims … valuation framework allowing to highlight the implications of infrequent interventions for the valuation of options on foreign …