Slightly over fifty years ago, the Black-Scholes option pricing model revolutionized investing by enabling a shift from linear to non-linear payoff structures. Myron Scholes later published two papers documenting the performance of passive option strategies that outperformed the underlying index...

In this article, we present a multi-factor stochastic volatility framework for pricing European options based on independent component analysis. We fit this model to empirical data on exchange-traded options in order to create a consistent pricing and hedging mechanism for multi-asset...

In the age of automation, trading and market making is about estimating the fair price of automated trading system research and development projects. This requires a new methodology to arrive at such a fair price. A real options framework is a natural choice. In this paper we review a...