This study uses bibliometrics to present a retrospective on the Journal of Futures Markets
(JFM) on its 40th anniversary. The Journal's annual number of publications and citations …

This study uses directed acyclic graph and spillover index models to find significant
evidence of both implied volatility contagion and spillovers. First, we observe strong regional …

Classical option pricing theories are usually built on the law of one price, neglecting the
impact of market liquidity that may contribute to significant bid-ask spreads. Within the …

Classical option pricing theories are usually built on the paradigm of competitive and
frictionless markets, while ignoring the impact of market liquidity on underlying asset prices …

This study develops a liquidity-adjusted option pricing model that demonstrates the impact of
the liquidity risk on stock prices using a liquidity discount factor. The discount factor relates to …

In this paper, we study the pricing problems of the European quanto options in which the
underlying foreign asset is in imperfectly liquid markets. First, we assume that the dynamics …

The paper represents an initial effort to unfold some of the determinants of the implied
volatility skew empirically observed in financial (derivative) markets. In particular, in a …

This paper develops a novel, general derivative pricing model which introduces a liquidity
risk factor. The model variants we outline offer a sufficient degree of flexibility so as to enable …

Classical option pricing theories are usually built on the paradigm of competitive and
frictionless markets, while ignoring the impact of market liquidity on asset prices. In this …

We establish the existence of liquidity risk premium in option returns via sorting analyses
and Fama-MacBeth regressions. In leverage-adjusted, hedged returns, the alpha due to …