announcements and use at-the-money options to exploit their informational advantage. In the post-event period, however, informed … option investors trade by using deep-out-of-the-money and out-of-the-money options. We documented limited evidence on the …

order book, using machine learning tools. The applicability of such tools on the options market is currently missing. On an … intraday tick-level dataset of options on an exchange traded fund from the Chinese market, we apply a variety of machine …

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

procedure. I parameterize the underlying exchange rate process as a mixture of log-normals, price the options using Monte Carlo …

Options on crude oil futures are the most actively traded commodity options. We develop a class of computationally … efficient discrete-time jump models that allow for closed-form option valuation, and we use crude oil futures and options data … crucial for modeling crude oil futures and futures options, and we find evidence in favor of time-varying jump intensities …

currency options are employed to recover the impact of interventions on the variability of exchange rates. A contingent claims … valuation framework allowing to highlight the implications of infrequent interventions for the valuation of options on foreign …

The volatility information content of stock options for individual firms is measured using option prices for 149 U …, but the option forecasts are nearly always more informative for those firms that have the more actively traded options …. When the prediction horizon extends until the expiry date of the options, the option forecasts are more informative than …

index options. First, equity volatility increases proportionally with the level of financial leverage, the variation of …-section of equity index options in identifying the economic channels underlying the variations of the equity index and its …

volatility or options prices. We develop a formal Bayesian framework where we can merge the backward looking information as … reported options prices. We apply our theory in forecasting the prices of FTSE 100 European Index options. We find that for … forecasting options prices out of sample (i.e. one-day ahead) our Bayesian estimators outperform standard forecasts that use …