We document a political risk premium of about 0.30% per month in the equity option market. High-political risk firms … that after the referendum there is a decrease in the option returns of the firms with exposure to Brexit risk. Further, the … political risk-option return relation is more pronounced among firms with high option demand, high information asymmetry, and …

The increasing adoption of Digital Assets (DAs), such as Bitcoin (BTC), rises the need for accurate option pricing … overcome the burden of complex adaption to jumps in higher order characteristics of option pricing models. This allows us to …

This paper investigates the performance of option investments across different stocks by computing monthly returns on … including out-of-the-money options or delta-hedging the returns. Unlike stock momentum, option return continuation is not …

Compound options are options for which the underlying is another option. In other words, a compound option is an option … written on an option. In this paper, we present two new approaches to compound option pricing. The first approach relies on …

-synchronous index and option prices and an average implied dividend yield rather than the implied dividend yield for the specific term … of each option. In EuroStoxx 50 options, large deviations occur even though the original option prices are perfectly in … timing mismatch of one minute between the option quotes (recorded at 15:59) and the closing share prices (few seconds after …