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Asymmetric Information and Options
6 references·16 citing·37 second hop
Asymmetric Information and Options (1993)Asymmetric Information and OptionsBrownian Motion and Stochastic Calculus (2007)Brownian Motion and Stochasti…Insider Trading in Continuous Time (1992)Insider Trading in Continuous…Multimarket Trading and Market Liquidity (1991)Multimarket Trading and Marke…Brownian Motion and Stochastic Calculus (1988)Brownian Motion and Stochasti…Continuous Auctions and Insider Trading (1985)Continuous Auctions and Insid…Martingales and arbitrage in multiperiod securities markets (1979)Martingales and arbitrage in …The Joint Cross Section of Stocks and Options (2014)The Joint Cross Section of St…Cross section of option returns and idiosyncratic stock volatility (2012)Cross section of option retur…Option Prices Leading Equity Prices: Do Option Traders Have an Information Advantage? (2011)Option Prices Leading Equity …The information content of option-implied volatility for credit default swap valuation (2010)The information content of op…Liquidity Risk and Arbitrage Pricing Theory (2010)Liquidity Risk and Arbitrage …Options trading activity and firm valuation (2009)Options trading activity and …O/S: The relative trading activity in options and stock (2009)O/S: The relative trading act…Volatility Information Trading in the Option Market (2008)Volatility Information Tradin…The market for crash risk (2007)The market for crash riskModel Uncertainty and Option Markets with Heterogeneous Beliefs (2006)Model Uncertainty and Option …The Informational Role of Stock and Option Volume (2002)The Informational Role of Sto…Continuous‐Time Methods in Finance: A Review and an Assessment (2000)Continuous‐Time Methods in Fi…Information, Trade, and Derivative Securities: Table 1 (1996)Information, Trade, and Deriv…Cointegration, Error Correction, and Price Discovery on Informationally Linked Security Markets (1995)Cointegration, Error Correcti…Insider and Liquidity Trading in Stock and Options Markets (1994)Insider and Liquidity Trading…Derivative Security Markets, Market Manipulation, and Option Pricing Theory (1994)Derivative Security Markets, …The Pricing of Options and Corporate Liabilities (1973)Option pricing: A simplified approach (1979)Good News and Bad News: Representation Theorems and Applications (1981)Valuing American Options by Simulation: A Simple Least-Squares Approach (2001)Bid, ask and transaction prices in a specialist market with heterogeneously informed traders (1985)Imperfect Competition among Informed Traders (2000)Asset Pricing under Asymmetric Information (2001)A Theory of Intraday Patterns: Volume and Price Variability (1988)Transmission of Volatility between Stock Markets (1990)Intraday Price Formation in U.S. Equity Index Markets (2003)Market microstructure: A survey of microfoundations, empirical results, and policy implications (2005)Is market fragmentation harming market quality? (2011)Theory of Rational Option Pricing (1973)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)Learning in Financial Markets (2009)Understanding Index Option Returns (2009)Time-varying rare disaster risk and stock returns (2011)Distribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)Statistical analysis of cointegration vectors (1988)Security price adjustment across exchanges: an investigation of common factor components for Dow stocks (2002)Realized Variance and Market Microstructure Noise (2004)The crude oil market and the gold market: Evidence for cointegration, causality and price discovery (2010)Risk, Return, and Equilibrium: Empirical Tests (1973)The option to stock volume ratio and future returns (2012)Does option trading convey stock price information? (2013)Why does the option to stock volume ratio predict stock returns? (2016)Inferring Trade Direction from Intraday Data (1991)Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts (1998)Modeling and Forecasting Realized Volatility (2003)Controlled Markov Processes and Viscosity Solutions (2005)Noise Trader Risk in Financial Markets (1990)Investor Psychology and Security Market Under‐ and Overreactions (1998)Illiquidity and stock returns: cross-section and time-series effects (2002)A general version of the fundamental theorem of asset pricing (1994)Arbitrage Theory in Continuous Time (1998)Term Structures of Credit Spreads with Incomplete Accounting Information (2001)
this work references cited by second hop

References

  • 1985Continuous Auctions and Insider Trading9,626 cited
  • 2007Brownian Motion and Stochastic Calculus7,421 cited
  • 1979Martingales and arbitrage in multiperiod securities markets3,595 cited
  • 1988Brownian Motion and Stochastic Calculus1,544 cited
  • 1991Multimarket Trading and Market Liquidity597 cited
  • 1992Insider Trading in Continuous Time468 cited

Cited by

  • 1995Cointegration, Error Correction, and Price Discovery on Informationally Linked Security Markets366 cited
  • 2009O/S: The relative trading activity in options and stock351 cited
  • 2006Model Uncertainty and Option Markets with Heterogeneous Beliefs346 cited
  • 2002The Informational Role of Stock and Option Volume316 cited
  • 2008Volatility Information Trading in the Option Market287 cited
  • 2014The Joint Cross Section of Stocks and Options286 cited
  • 2012Cross section of option returns and idiosyncratic stock volatility273 cited
  • 2010Liquidity Risk and Arbitrage Pricing Theory273 cited
  • 2010The information content of option-implied volatility for credit default swap valuation247 cited

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1994
Insider and Liquidity Trading in Stock and Options Markets
242 cited
  • 2009Options trading activity and firm valuation202 cited
  • 2000Continuous‐Time Methods in Finance: A Review and an Assessment199 cited
  • 2007The market for crash risk188 cited
  • 1996Information, Trade, and Derivative Securities: Table 1187 cited
  • 2011Option Prices Leading Equity Prices: Do Option Traders Have an Information Advantage?183 cited
  • 1994Derivative Security Markets, Market Manipulation, and Option Pricing Theory179 cited