Realized divergence gauges the distinct realized moments associated with time-varying uncertainty and is tradeable with divergence swaps engineered from delta-hedged option portfolios. Consistently with established notions of symmetry in arbitrage-free option markets, implied divergence...

Many financial contracts are equipped with exercise rights or other features enabling the parties to actively shape the contract's payoff. These decisions pose a great challenge for the pricing and hedging of such contracts. Yet, the literature lacks a consistent way of dealing with these...

Option pricing literature is usually concerned with financial contracts whose payoffs depend on decisions by only one of the contract's parties. Generalizations to more complex cases with decisions by both parties are impeded by the ad-hoc nature of many contributions. One prominent example...