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Option pricing for Informed Traders

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  • Stoyan V. Stoyanov
  • Yong Shin Kim
  • Svetlozar T. Rachev
  • Frank J. Fabozzi

Abstract

In this paper we extend the theory of option pricing to take into account and explain the empirical evidence for asset prices such as non-Gaussian returns, long-range dependence, volatility clustering, non-Gaussian copula dependence, as well as theoretical issues such as asymmetric information and the presence of limited arbitrage opportunities

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  • Stoyan V. Stoyanov & Yong Shin Kim & Svetlozar T. Rachev & Frank J. Fabozzi, 2017. "Option pricing for Informed Traders," Papers 1711.09445, arXiv.org.
    • Handle: RePEc:arx:papers:1711.09445
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