Its intuitiveness and the simplicity of its calculations make the seminal Black-Scholes-Merton
option pricing model the most commonly known and used among all asset pricing models …

We look at the economic significance and at the robustness of the new-generation, tent-
shaped return-predicting factors in US Treasuries. We find that, in itself, the precise tent …

The paper presents a simple and financially justifiable way to extract from today's plain
vanilla option prices the evolution of the smile surface in the (Q) measure. By combining this …

The empirical, or “ℙ,” distribution determines profits and losses from market price changes,
while the risk-neutral “ℚ” distribution is what is embedded in derivatives prices. Expected …