and proposes methods for option price estimation based on implied volatility, skewness and kurtosis. ‘Free-lunch’ is …

out on the French option market. We examine methods that account for non-normal skewness and kurtosis, relax the … normal skewness and kurtosis in terms of precision in the option valuation. …

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

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

, 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 …

the prices of options on Euribor futures. It is the first official and freely available dataset to span the complete … history of Euribor futures options, thus comprising over ten years of daily data, from 13 January 1999 onwards. Time series of …

This paper uses an extension of the equilibrium model of Lucas (1978) to study the valuation of options on the market … process for aggregate dividend. Closed-form pricing formulas for options on the market portfolio incorporate both stochastic …-Ingersoll-Ross (1985) model. In this sense, the current model provides a consistent way to price options written on the market portfolio …

While most empirical analysis of prediction markets treats prices of binary options as predictions of the probability …

announcements and use at-the-money options to exploit their informational advantage. In the post-event period, however, informed … option investors trade by using deep-out-of-the-money and out-of-the-money options. We documented limited evidence on the …