choice between several investment options investor must thoroughly know the subject of its investment capital, form of …

strategies are also investigated, allowing for limited short selling and the inclusion of synthetic options in the security set. …

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

options on the S&P 500 futures expire (pinning) and are pushed away from the cost-of-carry adjusted at-the-money strike price … right before the expiration of options on the S&P 500 index (anti-cross-pinning). These effects are driven by the interplay … (and early exercise) of in-the-money options by individual investors. The associated shift in notional futures value is at …

earns abnormal returns of 1.55% through the end of the quarter. Net of fees, hedge funds using options deliver higher …

options and forward contracts in the portfolio optimization model we are able to numerically assess the performance of … alternative tactics for mitigating exposure to the primary risks. We find that control of market risk with options has more …

option holdings to assess how mutual funds employ options, what funds use options, and how that affects performance and risk …. Mutual funds’ use of options appears consistent with income generation and hedging motives, is systematically related to …. Instead, certain uses of options lead to underperformance. We document no permanent or temporary aggressive risk taking by …