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

rational expectations equilibrium model with asymmetric information and a full menu of call and put options available for …

return, such as volatility or skewness, and exploits her private information by trading a complete menu of options. The …

of LSV models enable controlling for the autocallables price while leaving the fit to European options unaffected …

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 …