Given that both S&P 500 index and VIX options essentially contain information on the future dynamics of the S&P 500 index, in this study, we set out to empirically investigate the informational roles played by these two option markets with regard to the prediction of returns, volatility and...

In this paper we propose a Gaussian quadrature method to study American and exotic option pricing under the jump-diffusion model of Merton (1976). Our numerical experiments show that the Gaussian quadrature method, compared to several existing methods in the literature, including the fast Gauss...