The ad hoc Black-Scholes (AHBS) model is one of the most widely used option valuation models among practitioners models. The main contribution of this study is methodological. We have two main results: (1) we make the empirical observation that typically the call and put sneers are discontinuous...

We propose option realized semivariances and signed jumps which can be seen as new "observable quantities'' to summarize the asymmetric information contained in the sign of high-frequency options returns. We show that these measures successfully capture the direction of the discontinuities...

This paper investigates alternative models of learning to explain changes in uncertainty surrounding earnings innovations. As a proxy for investor uncertainty, we use model-free implied volatilities; as a proxy for earnings innovations, representing signals of firm performance likely to drive...