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

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

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 …

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 …

sensitivities to chosen risk factors. I test these portfolios empirically and find that options signifi cantly improve the risk … highly attractive skewness-kurtosis profi le. In the presence of transactions costs that depend on an option's moneyness and …

options on the euro area harmonized index of consumer prices provides us with the full distribution of inflation expectations …