options and the underlying exchange rates provide useful information for policy makers. …

The illiquidity of long-maturity options has made it difficult to study the term structures of option spanning … long-maturity illiquidity. By building a sieve estimator around the risk-neutral valuation equation, the framework …

equity options. We find that expectations for future shocks decrease leverage and are statistically significant even when we …

financial crisis. To this end, we derive risk-neutral densities from the implied volatilities of FX options, which approximate …-of-sample predictive power of indicators. The forecasting results suggest that models based on FX options are inferior to the random walk …

, 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 …

procedure. I parameterize the underlying exchange rate process as a mixture of log-normals, price the options using Monte Carlo …