This paper describes an empirical study of the information content of daily share prices and American put and call option mid-quotes about their generating process. Considering stock return and its volatility as the risk factors and without parameterizing their historical joint dynamics, two...

This paper describes an empirical study of equity and American option markets. Without parameterizing the joint dynamics of stock return and its volatility, two results are obtained. First, both the considered markets are necessary to simultaneously quantify equity and variance risk premia....

In recent years, a liquid market for options on a broad credit default swap index (CDX) has developed. We study the extent to which these options are priced consistently with options on a broad equity index (SPX). We consider a rich structural credit risk model in which firm assets follow a...