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 …

This paper proposes a robust approach to hedging and pricing in the presence of market imperfections such as market … incompleteness and frictions. The generality of this framework allows us to conduct an in-depth theoretical analysis of hedging … proposed theoretical approach are illustrated with an application on hedging economic risk. …

, hedging and super-hedging options for a large trader, utility maximization in illiquid markets and price impact models with …

This paper is devoted to the problem of hedging contingent claims in the framework of a complete two-factor jump … determine the unique hedging strategies which minimize a suitably defined shortfall risk under a given cost constraint. We … derive explicit formulas for this so-called efficient or quantile hedging strategy for a European call option. We then …

While most empirical analysis of prediction markets treats prices of binary options as predictions of the probability …

, with evidence from listed firms in Taiwan, pricing options on stocks denominated in different currencies, with theory and … simple model free volatility in a high frequency world, arbitrage-free implied volatility surfaces for options on single … stock futures, the non-uniform pricing effect of employee stock options using quantile regression, nonlinear dynamics and …