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On jumps in common stock and their impact on call option pricing
Ball, Cliffoed A., (1985)
Rational pricing of options during the South Sea Bubble : valuing the 22 August 1720 options
Shea, Gary S., (2004)
Hedging and Pricing Illiquid Options with Market Impacts
Saito, Taiga, (2016)
The delta- and vega-related information content of near-the-money option market trading activity
Rourke, Thomas, (2014)
Delta and vega exposure trading in stock and option markets
Maraachlian, Hilda, (2014)