models are applied to better-of-two-markets and worse-of-two-markets options on the S&P500 and Nasdaq indexes.Results show …

mo- mentum. This paper studies the pricing of options in such a situation, within a new model in which the dividend yield …, moreover, it renders preference-free formulas for European options. A momentum- inducing dividend yield implies that calls will … out-of-the money options. …

options data, we derive implied probability density functions (PDF) for expected future exchange rates and thus measures of …. The Paper, one of the first to use options data from an emerging market, finds that target zone credibility was poor prior …

, 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 …

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

dramatically and permanently changed the shape of the implied volatility curve for equity index options. Here, we propose a general … equilibrium model that captures many salient features of the U.S. equity and options markets before, during, and after the crash … shortmaturity at-the-money and deep out-of- the-money S&P 500 put options, as well as the prices of individual stock options …

equity index options, despite minimal changes in aggregate consumption. We explain these events within a general equilibrium … individual stock options, equity returns, and interest rates. …

The volatility information content of stock options for individual firms is measured using option prices for 149 U …, but the option forecasts are nearly always more informative for those firms that have the more actively traded options …. When the prediction horizon extends until the expiry date of the options, the option forecasts are more informative than …