Comprehensive Coverage IvyDB US contains a complete historical record of end-of-day data on all US exchange-traded equity and index options (including options on ETFs and ADRs) from January 1996 onwa
We document that the implied volatility skew of S&P 500 index puts is non-decreasing in the disaster index and risk-neutral variance, contrary to the implications of a broad class of no-arbitrage mode
This work deals with the explicit closed-form solution of Black-Scholes equation and its application to cash-or-nothing binary options. We first transform the Black-Scholes equation into a diffusion e
