The objective of this paper is to introduce the theory of option pricing for markets with informed traders within the framework of dynamic asset pricing theory. We introduce new models for option pricing for informed traders in complete markets, where we consider traders with information on the stock price direction and stock return mean. The Black–Scholes–Merton option pricing theory is extended for markets with informed traders, where price processes are following continuous-diffusions. By doing so, the discontinuity puzzle in option pricing is resolved. Using market option data, we estimate the implied surface of the probability for a stock upturn, the implied mean stock return surface, and implied trader information intensity surface.

中文翻译：

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交易者知情的市场中的期权定价

本文的目的是在动态资产定价理论的框架内介绍具有知情交易者的市场期权定价理论。我们为完整市场中的知情交易者引入了新的期权定价模型，在这些市场中，我们考虑具有股票价格方向和股票收益均值信息的交易者。Black-Scholes-Merton 期权定价理论适用于具有知情交易者的市场，其中价格过程遵循连续扩散。通过这样做，期权定价中的不连续性难题得到了解决。使用市场期权数据，我们估计股票上涨概率的隐含表面、隐含的平均股票收益表面和隐含的交易者信息强度表面。