, with evidence from listed firms in Taiwan, pricing options on stocks denominated in different currencies, with theory and … simple model free volatility in a high frequency world, arbitrage-free implied volatility surfaces for options on single … stock futures, the non-uniform pricing effect of employee stock options using quantile regression, nonlinear dynamics and …

The volatility information content of stock options for individual firms is measured using option prices for 149 U …, but the option forecasts are nearly always more informative for those firms that have the more actively traded options …. When the prediction horizon extends until the expiry date of the options, the option forecasts are more informative than …

(negative) skewness in the case of stochastic production (cost) frontieranalysis. It takes as example the binomial distribution …

We investigate the association of various firm-specific and market-wide factors with the riskneutral skewness (RNS …) implied by the prices of individual stock options. Our analysis covers 149 U.S. firms over a four-year period. Our choice of … firms is based on adequate liquidity and trading interest across different strike prices in the options market, ensuring …