Option pricing is typically conducted under the risk-neutral (Q) measure, whereas the drift of the underlying asset in the real world is specified by the physical (P) measure. The interaction between these two measures is subtle and has been the subject of several studies, including research on delta hedging and …

Managing an option book is not trivial. There is considerable research on hedging errors, optimal hedging frequency, and the choice of volatility inputs used in hedging algorithms. Reference continues this line of research by examining the effectiveness of hedging strategies under five different volatility measures: Flat ATM implied volatility …

Options pinning, the tendency of underlying prices to gravitate toward strikes with concentrated open interest near expiration, is well documented. However, given the rapidly changing options landscape, it is worth reassessing whether this effect still holds. Reference examines options pinning using data from 2016 to 2025, a period marked …

Options trading volume has been increasing rapidly, potentially altering market dynamics. Reference examines whether aggregate gamma exposure (GEX) in the S&P500 index options market contains predictive information about future equity returns and whether it can enhance short-term forecasting models. To do so, the authors construct an Autoregressive Distributed Lag …

A significant amount of research has been conducted on the volatility risk premium (VRP). Reference contributes to this literature by linking the VRP to the parameters of the Heston model. The Heston model is a widely used stochastic volatility model that captures time-varying volatility and mean-reverting dynamics. Unlike previous …

The Black–Scholes–Merton model is a groundbreaking and foundational framework in option pricing; however, it has well-known limitations. Several extensions have been developed to address these issues, including stochastic volatility and Lévy process-based models, which are largely parametric. Reference proposes a semi-parametric approach to overcome these limitations. Specifically, the model …

The Black–Scholes–Merton (BSM) model is the most frequently used option pricing framework in finance. However, it relies on simplifying assumptions, some of which are not realistic. Ongoing efforts aim to extend and generalize the BSM model, and Reference represents a recent contribution in this direction. The paper proposes an …

The Black–Scholes–Merton (BSM) model is a cornerstone of derivative pricing; however, it is not without limitations, and researchers continue to extend it. Reference proposes an extension by incorporating intraday momentum into the BSM framework. This is achieved by introducing a drift term that represents intraday momentum, measured using a …

VIX futures and Exchange-Traded Products (ETP) are widely used instruments for both volatility speculation and hedging, making a clear understanding of their behavior essential for these purposes. Several studies have examined the relationship between spot VIX, VIX futures, and volatility-linked ETPs. Reference contributes to this literature by analyzing the …

It is well known that put options are often overpriced, especially in equities. The literature is filled with papers explaining this phenomenon. However, most research still relies on the Black-Scholes-Merton framework, where the underlying asset follows a Geometric Brownian Motion (GBM). Reference also addresses this question, but it departs …