Publisher Summary This chapter focuses on the central empirical issue in option pricing,
which is whether the distributions implicit in option prices are consistent with the conditional …

During the seven years that elapsed between the first and second editions of the present
book, considerable progress was achieved in the area of financial modelling and pricing of …

Deviations from put-call parity contain information about future stock returns. Using the
difference in implied volatility between pairs of call and put options to measure these …

We estimate risk-free interest rates unaffected by convenience yields on safe assets. We
infer them from risky asset prices without relying on any specific model of risk. We obtain …

ABSTRACT GNMA mortgage‐backed pass‐through securities are supported by pools of
amortizing, callable loans. Additionally, mortgagors often prepay their loans when the …

Existing empirical studies of the put-call parity condition report frequent, substantial
violations. An important problem in interpreting these results is that these studies all …

There is sufficient evidence in the popular, legal, and financial literatures that informed
options trading ahead of scheduled and unexpected corporate events is pervasive. In this …

A long-standing asset pricing puzzle is that the funding rates in derivatives contracts often
differ from those in cash markets. We propose that the cost of renting intermediary balance …

The classic option pricing model is generalized to a more realistic, imperfect, dynamically
incomplete capital market with different interest rates for borrowing and for lending and a …

We examine the dynamics of bond correlation using a broad sample of US corporate bonds,
and document that bond correlation varies heavily over time. We attribute this variation in …