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...

Purpose – The purpose of this paper is to present a realistic hedging model. Design/methodology/approach – The paper uses a general utility function, general distributions, and a multiple-input technology. Findings – The study finds that the impact of one or both risks on the optimal...

Purpose – The purpose of the paper is to correct a commonly mistaken notion that an Asian option is always cheaper than its plain vanilla European counterpart in a general setting. Design/methodology/approach – The paper shows that by letting volatility go to zero, the lower bounds of Asian...