This paper carries out an asset-pricing analysis of the U.S. metropolitan housing market. We use zip code level housing data to study the cross-sectional role of volatility, price level, stock market risk and idiosyncratic volatility in explaining housing returns. While the related literature...

This paper develops option-based estimators of the diffusion using the Estimating Function approach. The resulting estimators have a generic structure that applies to a wide class of state-time separable diffusions found in option pricing models. Our methodology differs from the related...

Executive stock option (ESO) grants have a number of important features that do not conform with the Black-Scholes model. This paper presents a risk-neutral model for valuing such options where the holder is exposed to multiple severance risks (e.g. termination with cause, without cause,...

This article carries out an asset-pricing analysis of the U.S. metropolitan housing market. We use ZIP code-level housing data to study the cross-sectional role of volatility, price level, stock market risk and idiosyncratic volatility in explaining housing returns. While the related literature...