investors and the hedging of exposures remains dificult. This paper proposes to overcome these problems by introducing a call … option on an art index, derived from one of the most comprehensive data sets of art market transactions. The option allows … investors to optimize their exposure to art. For pricing purposes, non-tradability of the art index is acknowledged and option …

This paper evaluates and compares the ability of alternative option-implied volatility measures to forecast the monthly … realized volatility of crude-oil returns. We find that a corridor implied volatility measure that aggregates information from a … narrow range of option contracts consistently outperforms forecasts obtained by the popular Black-Scholes and model …

improperly weight low probability events. In this study, we find evidence that equity option market investors anchor to prices … implications for the cost of hedging long portfolios and long individual equity positions …