profitability of SPY strangles. We use information that is available at the time a position is under consideration to attempt to …

option's market price, and its implied volatility.This paper has been significantly revised and is available from SSRN under …

linkage of the three markets. Cross-market deviations occur for firms with high information uncertainty and are not created …

in the stock selection process, portfolio construction, risk measurement and management. The main ideas are highlighted …

A risk-neutral probability distribution (RND) for future S&P 500 returns extracted from index options contains … investors' true expectations and also their risk preferences. But the empirical pricing kernel that emerges in a representative … true expectations from risk premia requires further assumptions, so we consider polar cases in which either all investors …

to jumps in the underlying price. By contrast, volatility risk plays a smaller role close to maturity. Our results imply …' risk characteristics. Specifically, options' convexity risk increases sharply close to maturity, making them more sensitive … the cycle, while investors wishing to protect against downside risk should use back-month options to reduce hedging costs …

-jump type. In this setup, we derive a representation for the related precipitation swap price process and infer its risk … precipitation swap price representation under future information modeled by an initially enlarged filtration. We finally derive a … formula for the associated information premium and investigate minimal variance hedging of precipitation derivatives under …