We investigate the impact of options listings on the variance of the underlyingstock returns in the Swiss equity market using a non-parametric approach.The emergence of multiple share categories in most Swiss firms,combined with the fact that (listed) options are typically not introduced onall...

In this note we present a simple method to include the no-arbitrage condition into thederivation of conditional densities using the principle of maximum entropy. For the case ofidentically and independently distributed returns, we easily derive that the whole processestimated that way is...

This paper originates in an email sent by the second author wondering whether the first author knewabout Bronzin’s booklet on option pricing, dating back almost a century and containing formulas whichappear rather similar to those developed by Black-Scholes. The scepticism of the first author...

Real options present a wide topic in investment litterature nowadays. However, despite bigadvances in the single asset investment pricing, the theory is miser of informations aboutproblems involving more than one asset. We show in this paper that using dynamic programming,one can find an...

A contingent claims valuation model which allows to highlight the implications of program trading in spot markets for the pricing of European-style foreign currency options and for the volatility strike structure implicit in these contracts is devoloped. The curvature of the volatility strike...

The effectiveness of the foreign exchange market interventions conducted by the Deutsche Bundesbank during the Louvre period to alter either the level or the volatility of the $/DM spot rate is examined. Volatility quotes implicit in foreign currency options are employed to recover the impact of...

A stochastic model for pure-jump diffusion (the compound renewal process) can be used as a zero-order approximation and as a phenomenological description of tick-by-tick price fluctuations. This leads to an exact and explicit general formula for the martingale price of a European call option. A...

The option pricing model by Black and Scholes (1973) and the term structure model by Ho and Lee (1986) are among the most influential models of capital market theory. (...)