is less likely to be bailed out, the effect on upstream profits is ambiguous while consumers loose. Options are less … welfare increasing than forwards, but the difference is minimal. In the presence of bankruptcy, options are the preferred …

sensitivities to chosen risk factors. I test these portfolios empirically and find that options signifi cantly improve the risk …

discrepancy between the IV smiles for levered and unlevered ETF options. We construct bootstrap uniform confidence bands which … options which possibly have a positive value at the point of creation and non-negative value at the expiration time. An … ETF options to construct theoretical one-step-ahead implied volatility surfaces. The codes used to obtain the results in …

precision parameter of the DP process is calibrated to the amount of trading activity in deep-out-of-the-money options. We use …

equity options. We find that expectations for future shocks decrease leverage and are statistically significant even when we …