modeling permits access to skewness via randomized drifts. Optimal portfolios maximize a conservative market value seen as a …

We develop a firm valuation model with repeated expansion and contraction options to show operating profitability is a … proxy for time-varying systematic risk. Relative to riskier assets, the proportionate value of contraction options increase …

strike price and expiration date matched put and call options and capture price pressures in the option market. During a two …-day earnings announcement window, the abnormal returns to the quintile that includes stocks with relatively expensive call options … put options. This result is robust after measuring volatility spreads in alternative ways and controlling for firm …

Speculators who wish to bet on higher future volatility often purchase options to “go long volatility.” Should … investors who buy options expect to profit when realized volatility increases? If so, under what conditions? To answer these … questions, we conduct an analysis of the relationship between long volatility performance (buying options) and contemporaneous …

In an empirical study of Standard & Poor's 500 index options, this paper analyses the predictability of future market …