This article provides several new insights into the economic sources of skewness. First, we
document the differential pricing of individual equity options versus the market index and …

This article provides the economic foundations for valuing derivative securities. In particular,
it establishes how the characteristic function (of the future uncertainty) is basis augmenting …

Substantial progress has been made in developing more realistic option pricing models.
Empirically, however, it is not known whether and by how much each generalization improves …

Do long-term and short-term options contain differential information? If so, can long-term
options better differentiate among alternative models? To answer these questions, we first …

We investigate whether the volatility risk premium is negative by examining the statistical
properties of delta-hedged option portfolios (buy the option and hedge with stock). Within a …

This article tests how demographic changes affect capital markets. The life-cycle investment
hypothesis states that at an early stage an investor allocates more wealth in housing and …

In existing theory, wealth is no more valuable than its implied consumption rewards. In reality
investors acquire wealth not just for its implied consumption, but for the resulting social …

This study formalizes the departure between risk-neutral and physical index return volatilities,
termed volatility spreads. Theoretically, the departure between risk-neutral and physical …

This article offers a tractable monetary asset pricing model. In monetary economies, the price
level, inflation, asset prices, and the real and nominal interest rates have to be determined …

This article empirically analyzes some properties shared by all one-dimensional diffusion
option models. Using S&P 500 options, we find that sampled intraday (or interday) call (put) …