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

This paper uses an extension of the equilibrium model of Lucas (1978) to study the valuation of options on the market … process for aggregate dividend. Closed-form pricing formulas for options on the market portfolio incorporate both stochastic …-Ingersoll-Ross (1985) model. In this sense, the current model provides a consistent way to price options written on the market portfolio …

announcements and use at-the-money options to exploit their informational advantage. In the post-event period, however, informed … option investors trade by using deep-out-of-the-money and out-of-the-money options. We documented limited evidence on the …

procedure. I parameterize the underlying exchange rate process as a mixture of log-normals, price the options using Monte Carlo …

dramatically and permanently changed the shape of the implied volatility curve for equity index options. Here, we propose a general … equilibrium model that captures many salient features of the U.S. equity and options markets before, during, and after the crash … shortmaturity at-the-money and deep out-of- the-money S&P 500 put options, as well as the prices of individual stock options …

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. …

data from the 24-hour E-mini S&P 500 options market. We find that option prices do not jump simultaneously across strikes …