model averaging SDF outperforms reduced-form benchmark models in-sample and out-of-sample in pricing option return anomalies … and portfolios. We document that the SDF is dense in characteristics with the impliedrealized volatility spread, option …

This study aims to develop an accurate option pricing model for car leases by introducing a put option valuation … Weibull distribution provides a superior fit to the data, leading to more precise option pricing. This enhanced accuracy is … approach to modeling put option values using the Weibull distribution, filling a significant gap in the existing literature on …

Slightly over fifty years ago, the Black-Scholes option pricing model revolutionized investing by enabling a shift from … option strategies that outperformed the underlying index on a risk-return basis. The options market has evolved considerably …-frequency computer-based market. This paper re-evaluates the trilogy of foundational studies to determine whether passive-option …