We estimate in this paper the market risk implied by the prices of different options traded in the Brazilian stock …

models. We also derive two general pricing formulas for futures options. Finally we present an easily applicable sufficient …

this case is the Black-Scholes geometric Brownian motion model. Data on S&P 500 options from the Wall Street Journal are …

correlated and lagged-dependent lognormal diffusion processes. We then price options on credit-sensitive bonds. The recombining …

In this paper, we compare option contracts from a traditional derivatives exchange to bank-issued options, also … counterparty for bank-issued options, they frequently exist side-by-side, and the empirical evidence shows that there is …-issued options have smaller quoted percentage bid-ask spreads than traditional option contracts by an average of 4.3%. The bid …

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