This research develops an early warning system (EWS) for equity market crises based on multinomial logit models and variables relating to the information content of index futures and option markets. We show that the information impounded in S&P 500 futures and options is useful as leading...

We develop a new volatility measure: the volatility implied by price changes in option contracts and their underlying. We refer to this as price-change implied volatility. We compare moneyness and maturity effects of price-change and implied volatilities, and their performance in delta hedging....

2001 the first version WARRANT-PRO-2 (0.1) has been presented, see Breitner and Burmester (2002), which optimizes cash settlements for European double-barrier options and warrants. From the viewpoint of financial mathematics, some of the boundary conditions of the partial differential...