Retail investors dominate option trading in recent years. Individuals are net purchasers of options, particularly call, short-dated, and out-of-the-money options, although they tend to write long-dated puts. Retail brokerage outages are associated with reduced implied volatility overall, and the...

Trading in options with a wide range of exercise prices and a single maturity allows a researcher to extract the market's risk neutral probability density (RND) over the underlying price at expiration. The RND contains investors' beliefs about the true probabilities blended with their risk...

A new acceptable price approach to stochastic endpoint determination at given horizon accounting for the marginal investor beliefs and behaviour was proposed. Two-sided filtration with FBSDE defined stochastic dynamics was formulated for acceptable asset price under the risk-neutral probability...

We document the growth of retail options trading over time and provide evidence that retail investors are drawn to options by anticipated spikes in volatility. Using data on options trades by clientele groups, we show retail investors purchase options in a concentrated fashion before firms'...

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...

This paper develops a lattice method for option evaluation in the presence of regime shifts in the correlation structure of assets, aiming at investigating whether the option prices reflect such shifts. Specifically we try to investigate whether option prices reflect switches in the correlation...

We consider the Schwartz 97 two and three factor models, which have been considered as benchmarks for pricing commodity derivatives in the last two decades. In order to take account of sudden regime shifts in commodity prices, we superimpose a regime shifting structure onto this framework. Using...

This paper develops a closed-form model for options on commodities under the assumptions of mean-reversion in the commodity prices and regime-switching in the commodity returns volatility. After a closed-form solution for the option value in constant regimes has been developed, the model is...