We uncover momentum and reversal patterns in half-day option returns that persist for up to at least 20 business days … increase over time, are robust to various delta-hedging schemes and option selection criteria, and persist across different …

This study examines the role of volatility mean reversion in option pricing and evaluates the performance of commonly … used volatility estimators within a broad market context. Using a comprehensive dataset of end-of-day option chains for the … strength of mean reversion in volatility. To assess the accuracy and practical usability of volatility metrics for option …

underlying asset. Furthermore, this approach allows us to derive closed-form solutions for option pricing. …

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 …

options is insufficient to uniquely determine the price of a best-of call option. Previous research on multi-asset option … measures yielding different best-of option prices, with explicit no-arbitrage bounds [𝑎𝐾,𝑏𝐾] quantifying this uncertainty …