particular, I find that options markets explain a great deal of credit returns. Two particular features of corporate bonds … call provisions, which are basically options granted to the bond issuer. Thus, callable corporate bonds are positively … buying bonds and equities and by selling delta-neutralized equity index options and bond options. Risk-Efficient Credit …

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 …

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

earnings announcement, transaction costs, industry concentration, and choice of options' moneyness and time …This paper investigates the source of price momentum in the stock market using information from options markets. We … stocks whose information diffuses slowly into the stock market. We exploit the options markets to identify stocks with slow …