Appendix A demonstrates an error in the Genotte and Jung (1994) solution; Appendix B presents the Hamilton-Bellman-Jacoby equation in continuous time; Appendix C presents the exact solution in discrete time; Appendix D presents a numerical solution to the Liu and Loewenstein (2007) problem

This study examines the behaviour of stock prices in the presence of asymmetric information, when market participants are prohibited from short selling. We model the volume behaviour when high or low signals are observed by insiders, who are unable to sell unless they own stock. We demonstrate...

This study examines the behaviour of stock prices in the presence of asymmetric information, when market participants are prohibited from short selling. Although insiders privy to negative information may not exploit this information by selling if they do not own the stock, the market maker can...

This paper examines systematically the consequences of jump processes in the returns of the underlying asset, for the existence of the volatility smile. The key insight in this paper is the theoretical (but little-noticed) result that the presence of jumps brings major qualitative changes to...

This study focuses on innovations in order execution processes in competitive option markets. More specifically, it examines the impact of new competition arising from the Price Improvement Process introduced by the Boston Options Exchange on options spreads and the quality of order execution....

We derive a reservation purchase price for a call option price under proportional transaction costs. The price is derived in discrete time for a general distribution of the returns of the underlying asset, as in Constantinides and Perrakis (CP, 2002, 2007). We then consider a lognormal diffusion...

1 Stochastic Dominance: Introduction -- 2 Stochastic Dominance Option Pricing I: The Frictionless Case -- 3 Proportional Transaction Costs: An Introduction -- 4 Stochastic Dominance Option Pricing II: Option Bounds Under Transaction Costs -- 5 Stochastic Dominance Option Pricing: Empirical...