easily assimilated into existing measures such as the 90/110 skew spread and the realised-implied spread; (4) A statistically …

This paper analyzes empirical market utility functions and pricing kernels derived from the DAX and DAX option data for …

We provide evidence of a strong effect of the underlying stock's illiquidity on option prices by showing that the … translates into significant excess returns of option trading strategies that are not explained by common risk factors. Simulation … chosen illiquidity measure, the measure of option expensiveness, and the return period. …

Leland (1994), where stockholders have a perpetual American option to default. After making the case for modeling debt in …

In this paper, we combine modern portfolio theory and option pricing theory so that a trader who takes a position in a … European option contract and the underlying assets can construct an optimal portfolio such that at the moment of the contract …

of options written on those stocks, we investigate the relation between the option ratios, which are the call option … volume to put option volume ratio (C/P ratio) and the option volume to stock volume ratio (O/S ratio), and the future returns … both option ratios showed the statistically significant predictability about future returns of the underlying stock and …

option portfolios. The new methodology preserves the variance swap interpretation that decomposes returns into realized … variance and option implied-variance.We apply this new methodology to explore return momentum on option portfolios across …). In contrast to stock momentum, option momentum lasts for up to five years, and does not reverse …