procedure. I parameterize the underlying exchange rate process as a mixture of log-normals, price the options using Monte Carlo …

sensitivities to chosen risk factors. I test these portfolios empirically and find that options signifi cantly improve the risk …

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

The illiquidity of long-maturity options has made it difficult to study the term structures of option spanning …

precision parameter of the DP process is calibrated to the amount of trading activity in deep-out-of-the-money options. We use …

I develop a noisy rational expectations equilibrium model with a continuum of states and a full set of options that … have important implications for price discovery through options …

Options on crude oil futures are the most actively traded commodity options. We develop a class of computationally … efficient discrete-time jump models that allow for closed-form option valuation, and we use crude oil futures and options data … crucial for modeling crude oil futures and futures options, and we find evidence in favor of time-varying jump intensities …

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 …

distributions, which are instead obtained by transforming the options' implied risk-neutral distributions according to the posited …