We explore the pricing performance of Support Vector Regression for pricing S&P 500 index call options. Support Vector Regression is a novel nonparametric methodology that has been developed in the context of statistical learning theory and until now it has been practically neglected in...

We create market-based measures from options data to predict changes in REIT capital structure. REIT capital structure differs from that of typical listed firms: REITs have high leverage ratios of about 50 percent, their use of short-term debt is higher and more volatile, and debt issuance and...

The objective of this study was to analyze and model periodic behavior observed in India's Nifty VIX Index and to seek the origins of these previously unreported calendar variations. Implied volatility and its variations are important to understand as the pricing of many financial assets and...

This is the first study on the risk-neutral distribution of option returns. We derive solutions for the risk-neutral variance, skewness, and kurtosis of call and put option returns and document several properties of these ex-ante moments. We find that the volatility, skewness, and kurtosis of...

Over-the-counter foreign exchange options (OTC-FXOs) are the fourth largest derivatives market in the world. However, the extant literature on their pricing is noticeably thin. We propose a new discrete time exponential-affine multi-factor model, with multiple estimation strategies and pricing...

Seasoned equity offerings (SEOs) typically provide investors with information, or signals, that are stock price relevant. This information, however, is generally intangible, meaning market participants have incomplete knowledge about its quality. Investors thus tend to regard it as ambiguous. To...

An exercise boundary violation (EBV) occurs when the current bid price for an American option in the market is below intrinsic value. A seller at this price leaves money on the table and the buyer receives an arbitrage profit. In a liquid market, competition among dealers should drive up the bid...

We derive the theoretical relation between the term structure of implied variance and the expected excess returns of the underlying asset. Adopting three alternative approaches to compile the variables representing the information on the implied volatility index level and term structure, we show...