traded in SPX option markets. The price of the smile reflects two persistent volatility and skewness risks, which imply a …

highly attractive skewness-kurtosis profi le. In the presence of transactions costs that depend on an option's moneyness and … sensitivities to chosen risk factors. I test these portfolios empirically and find that options signifi cantly improve the risk …

the options market and the class of valuation problem being undertaken. Various examples are studied in detail, with exact …

, hedging and super-hedging options for a large trader, utility maximization in illiquid markets and price impact models with …

We analyze the impact of funding costs and margin requirements on prices of index options traded on the CBOE. We …

options in general and the error can become substantially large. VIX option pricing ; affine jump diffusion ; characteristic …

We develop statistical methods to detect informed trading in options markets. We apply these methods to 31 companies … tends to cluster prior to certain events, takes place more in put than call options, generates easily large gains exceeding … millions, is not contemporaneously reflected in the underlying stock price, involves around the money options during calm times …