discovery. We document that out-of-themoney (OTM) option prices, which determine the Risk-Neutral Skewness (RNS) of the … risk. These findings are consistent with a trading mechanism where investors choose to exploit perceived stock underpricing …

Equity options display a strong factor structure. The first principal components of the equity volatility levels, skews … components are highly correlated with the S&P500 index option volatility, skew, and term structure respectively. We develop an …

This article investigates option models in the encompassing class of stochastic volatility, return-jumps, and … volatility-jumps. Relying on individual equity options on the 50 most active firms and maximum likelihood estimation method, we … obtain several findings. First, while stochastic volatility is as important for individual equity options as it is for index …

We investigate the pricing of risk-neutral skewness in the stock options market by creating skewness assets comprised … exposure to changes in the price of the underlying stock (delta), and exposure to changes in implied volatility (vega) are … removed, isolating the effect of skewness. We find a strong negative relation between implied risk-neutral skewness and the …

We investigate the pricing of risk-neutral skewness in the stock options market by creating skewness assets comprised … exposure to changes in the underlying stock price (delta), and exposure to changes in implied volatility (vega) are removed …, isolating the effect of skewness. We find a strong negative relation between risk-neutral skewness and the skewness asset …

volatility jump diffusion model …

We employ a refined tree method to value employee stock options (ESOs) in the stochastic volatility model of Heston …. Our setting covers risk-averse employees maximizing expected utility where we in particular focus on subjective option … valuation, personal market beliefs and stochastic volatility. We formulate theoretical results on ESO valuation independently of …

We study the estimation, the dynamics, and the predictability of option-implied risk-neutral moments (variance …