We model demand-pressure effects on option prices. The model shows that demand pressure in one option contract … increases its price by an amount proportional to the variance of the unhedgeable part of the option. Similarly, the demand … demand-pressure effects make a contribution to well-known option-pricing puzzles. Indeed, time-series tests show that demand …

We model the demand-pressure effect on prices when options cannot be perfectly hedged. The model shows that demand … option. Similarly, the demand pressure increases the price of any other option by an amount proportional to the covariance of … show that demand-pressure effects help explain well-known option-pricing puzzles. First, end users are net long index …

We use Malliavin calculus and the Clark-Ocone formula to derive the hedging strategy of an arithmetic Asian Call option … motion, which allows us to express hedging strategy and price of the Asian option as an analytic, that is closed form …