Part I proposes a numeraire-invariant option pricing framework. It defines an option, its price process, and such … established in general. The american option is then defined, and its pricing formula (for all times) is presented. Applying a … notions as option indistinguishability and equivalence, domination, payoff process, trigger option, and semipositive option …

of the Nikkei 225 index around the 2007-2008 subprime loan crisis. The extended use of Japanese option data and an …

Gârleanu et al. (RFS 2009) show that a demand pressure phenomenon exists in option markets due to limit to arbitrage …. They assert that if arbitrage is perfect, option demand does not impact option price. In this note we show that there is a … positive relation between the demand for a redundant option and the option price, which is related to the beliefs of …

linked to the simplifying assumptions of the Black-Scholes option pricing model. Our empirical results show that forint …

and option markets in the framework of rational expectations, consistent with the notion that these two markets are …

in option prices. Consumption and dividends remain smooth, and the model is consistent with salient features of …

preserves the computational efficiency of mean-square hedging while being consistent with any prior pricing model or with any …