In this paper, we evaluate American-style, path-dependent derivatives with an artificial intelligence technique. Specifically, we use swarm intelligence to find the optimal exercise boundary for an American-style derivative. Swarm intelligence is particularly efficient (regarding computation and...

In the present paper, there are presented, theoretical and applicative, two issues: the evaluation of the European options using the Monte Carlo method and the measurement of the entropy of information for the price of the underlying asset of the option. The underlying asset used in our analyses...

We document rapid increases in (i) retail trading in options and (ii) payment for order flow, received by the U.S. retail brokerages from the so-called wholesalers in exchange for routing orders to them. Exploiting new flags in transaction-level data, we isolate wholesaler trades and build a...

In the past few years, the U.S. options markets experienced a major inflow of retail investors, who are young and tech-savvy, yet largely inexperienced. We show that this trend coincides with an increase in call option contracts left suboptimally unexercised. Market makers (and other...

This hypothesis paper explores a potential anomaly within the realm of share buybacks, positing an inevitable brokerage outperformance due to temporal optionality. The hypothesis under examination is that brokerage firms, regardless of stock price movements, can consistently outperform due to...

Our study is the first to investigate the implications of trading in options that expire on the same day - so-called "0DTE" options. Almost the entire growth of trading in S&P 500 index options can be traced back to demand for 0DTE options. We use recent exchange-related developments to identify...

We measure investors' short- and long-term stock-return expectations using both options and survey data. These expectations at different horizons reveal what investors think their own short-term expectations will be in the future, or forward return expectations. While contemporaneous short-term...

In this paper, we evaluate American-style, path-dependent derivatives with an artificial intelligence technique. Specifically we use swarm intelligence to find the optimal exercise boundary for an American-style derivative. Swarm intelligence is particularly efficient (computation and accuracy)...

We consider the hedging of options when the price of the underlying asset is always exposed to the possibility of jumps of random size. Working in a single factor Markovian setting, we derive a new spanning relation between a given option and a continuum of shorter-term options written on the...

Continuously monitored down-and-out calls and up-and-out puts have become very popular during the last decade, mainly because they can be interpreted as simple leveraged positions. Their deltas stay close to unity and their Greeks are small, particularly in low interest rate environments....