This paper proposes a new explanation for the smile and skewness effects in implied volatilities. Starting from a …

-style options. We introduce a skewed version of the Student-t distribution, whose main advantage is that its shape depends on only … four parameters, of which two directly control for the levels of skewness and kurtosis. We can thus easily vary parameters … to compare different distributions and use the parameters as inputs to price other options. We explain the method …

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 …

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

-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 …

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 …