The illiquidity of long-maturity options has made it difficult to study the term structures of option spanning …

literature suggests that even in the absence of any ability to predict returns, holding options positions on the benchmark assets …. The enhancement from holding options can be substantial if the implied volatilities of the options are higher than the …

stock futures, the non-uniform pricing effect of employee stock options using quantile regression, nonlinear dynamics and …, 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 …

literature suggests that even in the absence of any ability to predict returns, holding options positions on the benchmark assets …. The enhancement from holding options can be substantial if the implied volatilities of the options are higher than the …

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

, and products, including variance swaps, straddles, and VIX futures. In addition, the paper derives a closed …-form relationship between the prices of variance swaps and VIX futures. While tightly linked, VIX futures exhibit deviations of varying … and their relationship to VIX futures' return predictability. …

basis. Basis pricing synthesizes claim valuation and basis investment provides static hedging opportunities. For claims … 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 …