Index option pricing on world market indices are investigated using Levy processes with no positive jumps. Economically this is motivated by the possible absence of longer horizon short positions while mathematically we are able to evaluate for such processes the probability of a rally before a...

Prices of foreign exchange options systematically diverge from those consistent with several previous option pricing models. This paper examines whether alternative models better explaining the empirical dynamics of the foreign exchange futures markets can yield implied volatility surfaces...