This paper introduces an analytically tractable method for the pricing of European and American Parisian options in a flexible jump–diffusion model. Our contribution is threefold. First, using a double Laplace–Carson transform with respect to the option maturity and the Parisian (excursion)...

We develop statistical methods to detect informed trading in options markets. We apply these methods to 31 companies from various sectors over 14 years analyzing approximately 9.6 million option prices. We find that option informed trading tends to cluster prior to certain events, takes place...

This appendix extends the empirical results in Chesney, Crameri, and Mancini (2011). Informed trading activities on put and call options are analyzed for 19 companies in the banking and insurance sectors from January 1996 to September 2009. Our empirical findings suggest that certain events such...