This study investigates the lead-lag relationship between the option and stock markets for 17 trading-days prior to substantial earnings surprises, using the Berkeley options data base, changes in put-call parity, and a control option methodology. Before the passage of the Insider Trading Sanctions Act (ITSA) in 1984, the options market leads the stock market prior to negative surprises but tha...

The COVID-19 pandemic has increased fear of a financial market crash in China. We use an implied volatility slope measure, which proxies the cost option protection against and therefore trader's risk, using Shanghai Shenzhen CSI 300 Index options. show that this measure is positively related to new cases deaths during outbreak Option traders are willing pay more for hedging downside tail risk a...

Conventional capital budgeting techniques such as the discounted cash flow analysis fail to recognize managerial flexibility that may have a huge option value. Such managerial flexibility may include abandonment option, option to defer development, option to expand, option to contract, and switching options. Though the extension of option pricing theory to valuation of other assets is not a nov...

We present an efficient and accurate computational algorithm for reconstructing a local volatility surface from given market option prices. The is dependent on the values of both time underlying asset. use generalized Black–Scholes (BS) equation finite difference method (FDM) to numerically solve BS equation. reconstruct function, which provides best fit between theoretical prices by minimizing...

The market segmentation analysis for bicycle commuting can help identify distinct bicycle market segments and develop specific policies or strategies for increasing the bicycle usage in each segment. This study aims to use the approach of attitudinal market segmentation for identifying the potential markets of bicycle commuting. To achieve the research objective, the household survey is conduct...

this paper presents dynamic portfolio model based on the merton's optimal investment-consumption model, which combines dynamic synthetic put option using risk-free and risky assets. this paper is extended version of methodological paper published by yuan yao (2012) cite{26}. because of the long history of the development of foreign financial market, with a variety of financial derivatives, the ...

– We show, by studying in detail the market prices of options on liquid markets, that the market has empirically corrected the simple, but inadequate Black-Scholes formula to account for two important statistical features of asset fluctuations: “fat tails” and correlations in the scale of fluctuations. These aspects, although not included in the pricing models, are very precisely reflected in t...