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CBOE NASDAQ 100 Volatility Index
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On the Relative Pricing of long Maturity S&P 500 Index Options and CDX Tranches
We investigate a structural model of market and firm-level dynamics in order to jointly price long-dated S&P 500 options and tranche spreads on the five-year CDX index. We demonstrate the importance o
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B3 Derivatives Prices Historical Data
Historical prices of derivatives obtained from B3 (Bolsa de Valores do Brasil) website. The data are referent to the years 2011 to 2020. The data are separated into 10 .csv files referring to one
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Estimating State Price Densities Implied by American Options*
We propose a new method to estimate state price densities implicit in American-style options. The method involves estimating the parameters of a Gauss-Hermite series expansion and solving a sequence o
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Estimating State Price Densities Implied by American Options
We propose a new method to estimate state price densities implicit in American-style options. The method involves estimating the parameters of a Gauss-Hermite series expansion and solving a sequence o
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The Role of Guarantees in Defined Contribution Pensions
This paper examines the role of guarantees in DC pension plans, in particular minimum investment return guarantees during the accumulation phase. The main goal is to assess the cost and benefits of di
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