This paper develops a fast and numerically efficient method for pricing options, particularly with early exercise features, with state of the art simulation and regression based methods. Assuming nothing but homogeneity of the option price, a property satisfied by most option pricing models, and...

The cross-section of options holds great promise for identifying return distributions and risk premia, but estimating dynamic option valuation models with latent state variables is challenging when using large option panels. We propose a particle MCMC framework with a novel filtering approach...

Implied volatility surface has been studied extensively for various option markets including equities, foreign currencies, and commodities. Previous studies report that option implied volatility varies across moneyness, maturity, and time, yet, once the level is controlled for, the shape of the...