stock options. We develop an empirical estimate of ambiguity and include it in regression models alongside the more … option exercises, with volatility causing executives to hold their options longer in order to preserve remaining option value …

Many financial instruments are designed with embedded leverage such as options and leveraged exchange traded funds …-embedded-leverage securities and short high-embedded-leverage securities earns large abnormal returns, with t-statistics of 8.6 for equity options …, 6.3 for index options, and 2.5 for ETFs. We provide extensive robustness tests and discuss the broader implications of …

the spot volatility extracted from the options and the one obtained nonparametrically from high-frequency data on the … index options we extend the popular double-jump stochastic volatility model to allow for time-varying jump risk premia and a …

Term structure models employing Poisson-Gaussian processes may be used to accommodate the observed skewness and … pricing" of American-type bond options when the underlying term structure of interest rates follows a Poisson-Gaussian process …

We present a real-options model of takeovers and disinvestment in declining industries. As product demand declines, a …