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 …

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 …

these analytics in studying vanilla options.• Confirmation of analytical results is presented in the form of Monte Carlo …

functions. For example, hedging of Asian or long-dated put options is carried out with vanilla puts, hedging of Bermuda … particular, MMT has analytical closed-form expressions for joint probability density functions of various exotic options.In this … brief report the focus is on the joint probability density function of any two put options. This case is directly applicable …