We study the real-time characteristics and drivers of jumps in option prices. To this end, we employ high frequency … data from the 24-hour E-mini S&P 500 options market. We find that option prices do not jump simultaneously across strikes … and maturities and are uncorrelated with jumps in the underlying futures price. 14% to 28% of detected option price jumps …

by the winter-summer price differences. This paper provides a numerical solution for pricing storage capacity, by taking …

features of the energy markets, the existing analytic approximations for spread option pricing are hardly applicable to our …, we focus on pricing of gas swing options. These options are embedded in typical gas sales agreements in the form of … offtake flexibility concerning volume and time. The gas swing option is actually a set of several American puts on a spread …

Taking a portfolio perspective on option pricing and hedging, we show that within the standard Black … indefinitely. This ties the literature on option pricing and hedging closer together with the APT literature in its focus on …) hedging the total risk of each option separately, the correct hedge portfolio in discrete time eliminates linear (delta) as …

, with evidence from listed firms in Taiwan, pricing options on stocks denominated in different currencies, with theory and … stock futures, the non-uniform pricing effect of employee stock options using quantile regression, nonlinear dynamics and …

We study whether prices of traded options contain information about future extreme market events. Our option … probability of the market crashes, beyond and above other option-implied variables. Stock-specific tail loss measure predicts …

Option-implied betas are a promising alternative to historical beta estimators, because they are inherently forward …-sectional information from all stocks in the market improves beta estimation significantly. We also find that option-implied betas generally …