options on S&P 500 futures expire than on other days. The effect is driven by the interplay of market makers' rebalancing of …-the-money options by individual investors. Consistent with limits to arbitrage, we find that the effect is asymmetric and stronger above … the strike price. In line with increased options activity, pinning becomes more pronounced in recent years. …

options on the S&P 500 futures expire (pinning) and are pushed away from the cost-of-carry adjusted at-the-money strike price … right before the expiration of options on the S&P 500 index (anti-cross-pinning). These effects are driven by the interplay … (and early exercise) of in-the-money options by individual investors. The associated shift in notional futures value is at …

This paper uses a dynamic optimization model to quantify the potential welfare gains of hedging against commodity price … risk for commodity-exporting countries. We show that hedging enhances domestic welfare through two channels: first, by …

cor-relations and volatility spillovers between crude oil and stock index returns, pricing exotic options using the Wang …: evidence from S&P100 index and equity options, the performance of commodity trading advi-sors: a mean-variance-ratio test … catastrophe options with counterparty risk, day of the week effect on the VIX - a parsimonious representation, equity and CDS …

-issued options. These markets exist side-by- side, offering many options with identical or similar characteristics. We motivate the …

In this paper, we compare option contracts from a traditional derivatives exchange to bank-issued options, also … counterparty for bank-issued options, they frequently exist side-by-side, and the empirical evidence shows that there is …-issued options have smaller quoted percentage bid-ask spreads than traditional option contracts by an average of 4.3%. The bid …

correlated and lagged-dependent lognormal diffusion processes. We then price options on credit-sensitive bonds. The recombining …

the stock price process and test it on empirical data for four “momentum” stocks and their heavily traded options …

This paper uses an extension of the equilibrium model of Lucas (1978) to study the valuation of options on the market … process for aggregate dividend. Closed-form pricing formulas for options on the market portfolio incorporate both stochastic …-Ingersoll-Ross (1985) model. In this sense, the current model provides a consistent way to price options written on the market portfolio …