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 …

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

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 …

and call options are analyzed for 19 companies in the banking and insurance sectors from January 1996 to September 2009 … activities in put and call options. The realized gains amount to several hundreds of millions of dollars. Several cases are … discussed in detail. options trades, open interest, informed trading, false discovery rate …

The duality between the robust (or equivalently, model independent) hedging of path dependent European options and a … of dynamically trading the underlying risky asset and a static position of vanilla options which can be exercised at the …

Duality for robust hedging with proportional transaction costs of path dependent European options is obtained in a … position in vanilla options which can be exercised at maturity. Only stock trading is subject to proportional transaction costs …