option pricing in an incomplete market. By reverse engineering, our new option-pricing model is flexible enough to extract … implied from market option prices. They are found to be time-varying, highly fluctuated and largely shaped by macroeconomic …

. This is true for all models that imply Black/Scholes--type formulas for option prices and hedging strategies. In this paper …

The extension of the Black-Scholes option pricing theory to the valuation of barrier options is reconsidered. Working …

In this paper we discuss the significant computational simplification that occurs when option pricing is approached … additional option pricing problems within the framework of a change of numeraire: 1. Pricing savings plans which incorporate a …

pressure in one option contract increases its price by an amount proportional to the variance of the unhedgeable part of the … option. Similarly, the demand pressure increases the price of any other option by an amount proportional to the covariance of … show that demand-pressure effects contribute to well-known option-pricing puzzles. Indeed, time-series tests show that …

In this paper we discuss the significant computational simplification that occurs when option pricing is approached … additional option pricing problems within the framework of a change of numeraire: <p> 1. Pricing savings plans which incorporate …

This work examines how the option and stock markets are related when using the threshold vector error correction model … consistent with the following notions. First, the equilibrium re-establishment process depends primarily on the option market and … is triggered only when price deviations exceed a critical threshold. Second, arbitrage behaviors between the option and …

overcome the highlighted liquidity issues, we propose first to test the generaliza- tion of Gray and Whaley (1999) reset option … introduced by François-Heude and Yousfi (2013). The main idea is to reset the strike price PXA option to a new strike price given …

enhance liquidity, we test the generalized reset GR option of François-Heude and Yousfi (2013) in the PXA options' market. Our …