, hedging and super-hedging options for a large trader, utility maximization in illiquid markets and price impact models with …

This paper studies the pricing, timing and hedging of an American call option written on a non-tradable asset whose …

We present a novel computational approach for quadratic hedging in a high-dimensional incomplete market. This covers … both mean-variance hedging and local risk minimization. In the first case, the solution is linked to a system of BSDEs, one …, we solve high-dimensional quadratic hedging problems, providing the entire hedging strategies paths, which, in …

sensitivities to chosen risk factors. I test these portfolios empirically and find that options signifi cantly improve the risk …

precision parameter of the DP process is calibrated to the amount of trading activity in deep-out-of-the-money options. We use …

equity options. We find that expectations for future shocks decrease leverage and are statistically significant even when we …

The illiquidity of long-maturity options has made it difficult to study the term structures of option spanning …

I develop a noisy rational expectations equilibrium model with a continuum of states and a full set of options that … have important implications for price discovery through options …

procedure. I parameterize the underlying exchange rate process as a mixture of log-normals, price the options using Monte Carlo …

Options on crude oil futures are the most actively traded commodity options. We develop a class of computationally … efficient discrete-time jump models that allow for closed-form option valuation, and we use crude oil futures and options data … crucial for modeling crude oil futures and futures options, and we find evidence in favor of time-varying jump intensities …