Earnings announcements (EADs) are corporate events that provide investors with funda- mentally important information. The prospect of stock price rises may also contribute to EADs’ increased volatility. Using data on extremely short-term options, we study that bi-modality in the risk-neutral...

The complexity of pricing variance, volatility, covariance, correlation swaps involves how to determine the dynamics of stochastic processes for underlying assets and their volatilities. In this way, sometimes it is simpler to consider of swaps pricing involving the so-called pseudo- statistics,...

This paper derives accurate inferences about the contribution of a high-dimensional set of option and stock characteristics to the cross-sectional variation in delta-hedged option returns. Unlike the extant literature that is largely focused on the construction of predictive models, we apply...

We recall representations of European vanilla option prices and the constraints on the implied volatility when defined piecewise. In the case of linear interpolation of the implied variance, we explicit these constraints

This paper conducts a first look into the regulated Bitcoin options market in the United States. Compared to stock options, bitcoin options tend to be ten times more illiquid as measured by bid-ask spreads. The illiquidity significantly affects bitcoin options pricing: Given that investors are...

The growing demand for secondary transactions and secondary purchases in the private equity market has emerged as a prominent trend, driven by investors seeking liquidity and access to mature investments with shorter holding periods. Despite the promising nature of secondary transactions, they...

We evaluate the importance of nonlinear and interactive effects in implied volatility innovation forecasting by comparing the performance of machine learning models that can search for interactive effects relative to classical ones that cannot, measuring the economic significance of these...

In this research, we summarize the results of implementing market risk premium into the option valuation formulas of the Black-Scholes-Merton model for the out-of-money (OTM) options. Especially, empirical studies are conducted using the 50ETF options which are obtained from Shanghai Stock...

This case addresses securities that allow the holders to acquire stock directly from the issuing corporation either by purchase (warrants) or by exchanging convertible debt of the corporation for its stock. One can deem warrants and convertible debt as two different types of the same category of...