We set out in this study to investigate the price impacts of options and futures trading prior to the stock market opening. Our findings indicate clustering by a high proportion of informed traders during the ‘pre-open’ period, with their options and futures trading volume being found to...

This study compares the computational accuracy and efficiency of three numerical methods for the valuation of contingent claims written on multiple underlying assets; these are the trinomial tree, original Markov chain and Sobol-Markov chain approaches. The major findings of this study are: (i)...

This study follows the approach of Ni et al. [Ni, S.X., Pan, J., Poteshman, A.M., 2008. Volatility information trading in the option market. Journal of Finance 63, 1059-1091] - based upon the vega-weighted net demand for volatility - to determine whether volatility information exists within the...