announcements and use at-the-money options to exploit their informational advantage. In the post-event period, however, informed … option investors trade by using deep-out-of-the-money and out-of-the-money options. We documented limited evidence on the …

The informed options trading hypothesis posits that option prices lead stock prices. In this paper, we extended the … accounts for prescient pricing behavior in options relative to stocks. …

Certain exotic options cannot be valued using closed-form solutions or even by numerical methods assuming constant … that assumes a constant volatility. The Johannesburg Stock Exchange (JSE) lists exotic options on its Can-Do platform. Most … exotic options listed on the JSE’s derivative exchanges are valued by local volatility models. These models needs a local …

traded options data from September 2009 to December 2018, we find that a partially linear model permitting a flexible … and execute volatility-based strategies using at-the-money options for its high liquidity. …

The valuation of options and many other derivative instruments requires an estimation of exante or forward looking … volatility estimates more closely approximate the implied volatility of stocks derived from traded call and put options prices …

The main objective of this paper is to present an algorithm of pricing perpetual American put options with asset …

parameters to the American style S&P 100 index options market, using the least square regression method. Moreover, we discuss … path-dependent options, such as Asian and Barrier options. …

In this paper we propose a maximum entropy estimator for the asymptotic distribution of the hedging error for options … derive the asymptotic hedging error for options under a generalised jump-diffusion model with kernel bias, which nests a …