This paper examines the impact of option listing in the NASDAQ equity market on the bid-ask spread of the underlying … stock. We find that both the market adjusted percentage and dollar spreads decrease with option listing, which is consistent …

is the fluctuation. On the other hand, option measures of danger i.e., beta (un-standardized coefficient) has been …

The illiquidity of long-maturity options has made it difficult to study the term structures of option spanning … portfolios. This paper proposes a new estimation and inference framework for these option-implied term structures that addresses …

We estimate the term structure of the price of variance risk (PVR), which helps distinguish between competing asset-pricing … of established asset-pricing models that assume constant risk aversion across maturities. …

to option-adjusted spreads. With this pricing model, we find that prepayment model risk explains the smile, while the … prepayment option show a pronounced smile with respect to the MBS coupon. We propose prepayment model risk as a candidate driver … of MBS spreads and present a new pricing model that uses "stripped" MBS prices to identify the contribution of this risk …