across credit, option, and equity markets. Our consumption-based equilibrium model captures the empirical level and … bond and equity market returns. Our model reveals a dynamic relationship between credit and option markets that helps … explain the inconclusive evidence found in the empirical literature when regressing credit spreads on the option smirk …

spread option prices is shown to hold, with an explicit plug-in volatility. We present several numerical examples showing … that cointegration leads to significantly cheaper spread options compared to the complete market case, where cointegration …

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 … prices are derived in an equilibrium setting as well as by replication arguments. In the former, option prices depend on the …

This paper determines the value of asset tradeability in an option pricing framework. In our model, tradeability is … cannot be traded and the more trading dates the liquid stock offers. -- tradeability ; liquidity ; option pricing …

low forecast power is consistent with the failure to control for a risk premium in option prices. Evidence is presented …

crisis. We also address the economic significance of model choice in two option pricing applications. First we compare the … implied volatilities generated by the different estimated models. As a final application we price the real option to develop … an oil field. Our findings indicate that model choice can have a material effect on the option values …

Recent empirical studies report predictable dynamics in the volatility surfaces implied by observed index option prices …