We utilize Bayesian model averaging to estimate a stochastic discount factor (SDF) for single-stock options. A Bayesian … for options with high retail trading volume. …

This study examines whether changes in the implied volatility of stock options have cross-sectional predictability for …

options is insufficient to uniquely determine the price of a best-of call option. Previous research on multi-asset option … implications: derivatives practitioners who hedge best-of options using basket-equivalent instruments face fundamental … phenomena: wide bid-ask spreads on extremal options, practitioners' preference for over-hedging strategies, and substantial …

We analyze a market-wide panel dataset on retail options trading from India, a market with an 80% share in option … contracts traded worldwide. Retail traders both concentrated in and dominate index options trading. They exhibit short …-term speculative behavior with significant day trading, short- duration directional bets especially as options converge to 0DTE and …

This paper addresses the challenges associated with pricing exotic options, specifically path-dependent ones, with a …, introduced by Babsiri and Noel in 1998. Path dependent options, such as first and second-generation barrier and lookback options … prone to errors when using traditional Monte Carlo methods. This work begins by presenting different exotic options …

option strategies that outperformed the underlying index on a risk-return basis. The options market has evolved considerably … over the last fifty years from an open outcry trading structure with options being single-listed to a high …-option-enhanced portfolios still produce superior performance in the current high-frequency options market environment. …