Derivatives, such as futures or options, are financial contracts which derive their value from a spot price, which is called the “underlying”. Derivative products like index futures, stock futures, index options and stock options have become important instruments of price discovery,...

One reason for the phenomenal success of options is the fact that they can be priced. Pricing usually means that there is an active and a liquid market with many buyers and sellers that generate a continuous flow of prices for a specific instrument. However, the pricing of options goes beyond...