sensitivities to chosen risk factors. I test these portfolios empirically and find that options signifi cantly improve the risk …

precision parameter of the DP process is calibrated to the amount of trading activity in deep-out-of-the-money options. We use …

I develop a noisy rational expectations equilibrium model with a continuum of states and a full set of options that … have important implications for price discovery through options …

a single day and over an average of different days with options expiring at the same maturity. We also evaluate the …

measure. An extensive empirical analysis of S&P 500 index options illustrates that our approach significantly outperforms …

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 …