On the Information Content of Option Prices
It is well known that the market price of a standard option reflects
the risk-neutral mean of its path-independent payoff. It is less well
known that this same option price also reflects the risk-neutral mean of
various path-dependent payoffs. We give several examples of such payoffs
which together suggest that option prices convey much more information
than one might initially expect.
Peter Carr, Bloomberg LP and Courant Institute, New York University