We investigate the prevalence of informed options trading prior to takeover announcements, when the legal prohibition against insider trading is strictest. Although insider trading laws apply equally to the options and stock markets, the options market is considerably more transparent than the...

Do financial derivatives enhance or impede innovation? We aim to answer this question by examining the relationship between equity options markets and standard measures of firm innovation. Our baseline results show that firms with more options trading activity generate more patents and patent...

A general numerical method for pricing American options in regime switching jump diffusion models of stock dynamics with stochastic interest rates and/or volatility is developed. Time derivative and infinitesimal generator of the process for factors that determine the dynamics of the interest...

This paper solves the dynamic investment problem of a risk averse agent compensated with a performance related bonus plus a salary guaranteed up to a certain level of underperformance. The main contribution is to explicitly take into account the financial fragility of the principal [employer],...

We derive a general formula for pricing options with barrier and/or lookback features, which covers several types of options studied in the literature and new types of options, and demonstrate that the pricing formula can be efficiently realized using the methodology developed in Kudryavtsev and...