options and the underlying exchange rates provide useful information for policy makers. …

equity options. We find that expectations for future shocks decrease leverage and are statistically significant even when we …

investigate the volatility smile derived from liquid call and put options on the Polish WIG20 index which option series expired on … volatilities for moneyness points needed were calculated, then we construct 355 smile curves for calls and puts options to study …

This paper uses an extension of the equilibrium model of Lucas (1978) to study the valuation of options on the market … process for aggregate dividend. Closed-form pricing formulas for options on the market portfolio incorporate both stochastic …-Ingersoll-Ross (1985) model. In this sense, the current model provides a consistent way to price options written on the market portfolio …

Many legal rules can be interpreted as creating options. Option pricing is thus important for understanding the ex ante …

implied volatility models for South African single stock future options and warrants. Furthermore, the pricing premiums … methodology is superior. Inter-bank implied volatility for single stock futures options is compared to implied volatility for … the market makers, amongst themselves, are willing to pay for the same underlying shares with single stock futures options. …

implied volatility of individual options on S&P 100 stocks and the ex-post realized volatility of the stocks following sharp … first to document a successful trading strategy involving writing individual stock options, even while taking transaction …