We examine the asymmetry in the predictive power of investor sentiment in the cross-section
of stock returns across economic expansion and recession states. We test the implication of …

In this article, the authors reexamine the American‐style option pricing formula of R. Geske
and HE Johnson (1984), and extend the analysis by deriving a modified formula that can …

Given that both S&P 500 index and VIX options essentially contain information about the
future dynamics of the S&P 500 index, in this study, we set out to empirically investigate the …

We examine whether investors can improve their investment opportunity sets through the
addition of volatility-related assets into various groupings of benchmark portfolios. By first …

This paper utilizes the static hedge portfolio (SHP) approach of Derman et al. [Derman, E.,
Ergener, D., Kani, I., 1995. Static options replication. Journal of Derivatives 2, 78–95] and Carr …

This study illustrates the impact of both spot and option liquidity levels on option prices.
Using implied volatility to measure the option price structure, our empirical results reveal that …

Since weather-related disasters have an upward trend-cycle movement and the global
financial crisis has revealed the severity of counterparty risk, this study reinvestigates and …

This paper generalizes the seminal Cox-Ross-Rubinstein (CRR) binomial model by adding
a stretch parameter. The generalized CRR (GCRR) model allows us to fine-tune (via the …

This study examines the impacts of individual and institutional futures trading on both
futures returns and volatility using a unique dataset from the Taiwan Futures Exchange. Our …

The estimation of the cost of equity capital (COE) is one of the most important tasks in financial
management. Existing approaches compute the COE using historical data, ie they are …