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

procedure. I parameterize the underlying exchange rate process as a mixture of log-normals, price the options using Monte Carlo …

-term decline - in the variance risk premium, and time variation in conditional skewness. We also introduce two new data series …: implied volatility from one-day options on grains for the period 1906-1936, and on cliquet options, which provide insurance …-dated options. Finally, we discuss new avenues for future research …

We measure investors' short- and long-term stock-return expectations using both options and survey data. These …