risk aversion coefficients from option prices. Relative to Black-Scholes, V. G. option values are higher, particularly so …

pressure in one option contract increases its price by an amount proportional to the variance of the unhedgeable part of the … option. Similarly, the demand pressure increases the price of any other option by an amount proportional to the covariance of … show that demand-pressure effects contribute to well-known option-pricing puzzles. Indeed, time-series tests show that …

In this paper we discuss the significant computational simplification that occurs when option pricing is approached … additional option pricing problems within the framework of a change of numeraire: <p> 1. Pricing savings plans which incorporate …

This work examines how the option and stock markets are related when using the threshold vector error correction model … consistent with the following notions. First, the equilibrium re-establishment process depends primarily on the option market and … is triggered only when price deviations exceed a critical threshold. Second, arbitrage behaviors between the option and …

overcome the highlighted liquidity issues, we propose first to test the generaliza- tion of Gray and Whaley (1999) reset option … introduced by François-Heude and Yousfi (2013). The main idea is to reset the strike price PXA option to a new strike price given …

enhance liquidity, we test the generalized reset GR option of François-Heude and Yousfi (2013) in the PXA options' market. Our …

We develop a new parametric estimation procedure for option panels observed with error which relies on asymptotic … approximations assuming an ever increasing set of observed option prices in the moneyness- maturity (cross-sectional) dimension, but … vector that governs the option price dynamics. The estimators converge stably to a mixed-Gaussian law and we develop feasible …

through return data transformation. The model complies with the put-call parity principle of option pricing theory. The …