Abstract: This paper examines the joint time series of the S&P 500 index and near-the-money short-dated option prices with an arbitrage-free model, capturing both stochastic volatility and jumps. Jump-risk premia uncovered from the joint data respond quickly to market volatility, becoming more

of explaining the implied volatility smile for short-dated options.

This paper examines the joint time series of the S&P 500 index and near-the-money short-dated option prices with an arbitrage-free model, capturing both stochastic volatility and jumps. Jump-risk premia uncovered from the joint data respond quickly to market volatility, becoming more prominent

I document evidence that equity options with different maturities do not embed the same type of stock information with the same strength. Long-dated options not only embed long-horizon stock information, but also short-horizon information, even if a cheaper and more liquid short-dated option

with the adjacent oceans also suggest that the dimming decreases the land-sea contrast in surface temperature -a major monsoon forcing term. In order to account for the delayed oceanic response to the dimming, fully coupled ocean-atmosphere models are required. To date, three such studies have been published 60, 62

Wireless networks with energy harvesting battery equipped nodes are quickly emerging as a viable option for future wireless networks with extended lifetime. Equally important to their counterpart in the design of energy harvesting radios are the design principles that this new networking paradigm

dates, but also by their distribution over time. In contrast to the total value of illiquid zero bonds, the theoretical liquidity spreads are independent of the short rate level. When we regard German Jumbo Pfandbrief market data, we find several parallels

This paper provides a fuller characterization of the analytical upper bounds for American options than has been available to date. We establish properties required of analytical upper bounds without any direct reliance on the exercise boundary. A class of generalized European claims on the same

are introduced out of the S&P 1500 index family. Between announcement and effective dates, the median at-the-money call option rises 120 % for additions from outside the S&P 1500, and 32 % for promotions within the S&P index family. • While it is not possible to capture most of these price changes

This paper studies optimal long-term electric power capacity strategies with capacity options. Gencos can sign contracts with Discos, where such contracts take the form of capacity options that may or may not be executed by Discos at some prespeci #ed maturation date. Capacity not o