We find that single-name options trading increases the absolute level of information content of prices (stock price … volume. Our findings are through the channels of investors' acquiring more information and through managers' information … disclosure. The findings are driven by firms with higher information asymmetry and firms with more efficiently priced options …

the prediction from a standard information asymmetry perspective on stock liquidity. The effect should be amplifed by … information asymmetry, inventory risks, and transaction costs …

This paper investigates the pricing of single-asset autocallable barrier reverse convertibles in the Heston local …, the commonly-used local volatility (LV) model is overly simplified for pricing and risk management. Given its ability to … exotic derivatives such as autocallables. We use quasi-Monte Carlo methods to study the pricing given the Heston LSV model …

dataset and introducing non-Gaussian innovations, the pricing kernel puzzle that arises in Jackwerth (2000) disappears both in …

We develop a discrete-time stochastic volatility option pricing model, which exploits the information contained in high … competing time-varying (i.e. GARCH-type) and stochastic volatility pricing models. The pricing improvement can be ascribed to …

the market. collateral requirements, funding costs, volatility smile, option pricing …