-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 …

European style options for various maturities. The beauty of this model is to have used the standard GARCH theory in an option … given its ability to price one-day ahead out- of-sample call options and also its ability to capture the empirical dynamic … of the volatility skew. We get severe mispricing for deep out- of-the-money and short term call options, which tend to …

most undesirable property of the failed models is the high correlation with the underlying interest rate and options …

well approximated by the value of a particular portfolio of options. Ignoring the small approximation error, the difference … options data set, we synthesize variance swap rates and investigate the historical behavior of variance risk premia on five …

Este documento de trabajo analiza el Modelo de Valoración de Opciones basado en la Estructura de Tasas de Interés de …