to provide a forecasting competition. We analytically demonstrate the option maturity effect on the sensitivity of the …

I examine the effects of return predictability on option prices for the market portfolio in the presence of stochastic … volatility and/or stochastic interest rates. The analysis is implemented in an equilibrium framework where a consistent option … the mean-reverting and heteroskedastic features of aggregate dividends. It is shown that risk-neutral option pricing model …

Stock Exchange Capitalization Weighted Stock Index Option (TXO) was introduced by the Taiwan Futures Exchange on December 24 … effects also exist with regard to the volatilities on both the equity and option markets. The greatest volatility appears on …

costs and benefits. The Arrow–Fisher–Hanemann–Henry quasi-option value and the Dixit–Pindyck option value both measure how … relation between the two option values and explains that the quasi-option value captures the value of learning conditional on … preservation, whereas the Dixit–Pindyck option value captures the net value of preservation under learning. We show how either of …