It is well known that the implied volatilities of options on the same underlying asset differ across strike prices and terms to expiration. However, the reason for this remains unclear. Before the development of theory to explain this phenomenon, it may be helpful to better understand the...

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...

This paper examines whether the favorite/long-shot bias that has been found in gambling markets (particularly horse racing) applies to options markets. We investigate this for the Samp;P 500 futures, the FTSE 100 futures and the British Pound/US Dollar futures for the seventeen plus years from...

An installment option is a European option in which the premium, instead of being paid up-front, is paid in a series of installments. If all installments are paid the holder receives the exercise value, but the holder has the right to terminate payments on any payment date, in which case the...

We find an anomaly for traded and non-traded period returns for major non-US stock markets. Returns were significantly negative over trading periods and positive over non-traded periods, while for US stock markets, both non-traded and traded period returns were positive. This anomaly appears to...

This paper examines options based upon a foreign asset but with a payout that occurs in another currency. Different type of currency translated options are covered: Flexos, Compos or Joint Options and Quantos. A special emphasis is put on this final currency translated option, since it is the...