Trading in options with a wide range of exercise prices and a single maturity allows a
researcher to extract the market's risk-neutral density (RND) over the underlying price at …

This paper proposes a new method for measuring the impact of inflation on the real value of
public debt. The distribution of debt debasement is based on two inputs: the distribution of …

The prices of long-dated inflation swap contracts provide a much-used estimate of expected
inflation at far horizons. This paper develops the methods to estimate complementary tail …

Equity index volatility variation and its interaction with the index return can come from three
distinct channels. First, index volatility increases with the market's aggregate financial …

We investigate whether there are predictable patterns in the dynamics of higher-order risk-
neutral moments (RNMs) extracted from the market prices of Standard & Poor's (S&P) 500 …

The Volatility Smile The Black-Scholes-Merton option model was the greatest innovation of
20th century finance, and remains the most widely applied theory in all of finance. Despite …

Building on the method of Ludwig (2015) to construct robust state price density surfaces from
snapshots of option prices, we develop a nonparametric estimation strategy based on the …

We examine investors' behavioral biases and preferences in the options market near 52‐
week high and low (52W‐H/L) using Indian options market data. We document that as the …

This study shows that the option market can ex ante detect and quantify the effects of
political event risk. Focussing on the 2016 UK referendum on EU membership, we find that …

We investigate the informational content of options-implied probability density functions
(PDFs) for the future price of oil. Using a semiparametric variant of the methodology in …