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Year of publication
Subject
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Optionsgeschäft 6,588 Option trading 6,420 Optionspreistheorie 4,005 Option pricing theory 3,997 Volatilität 1,846 Volatility 1,843 Derivat 1,455 Derivative 1,455 Theorie 1,205 Theory 1,203 Stochastic process 886 Stochastischer Prozess 886 Black-Scholes-Modell 692 Black-Scholes model 689 Hedging 671 Börsenkurs 618 Share price 618 Portfolio selection 558 Portfolio-Management 558 USA 451 United States 446 Capital income 411 Kapitaleinkommen 411 Index-Futures 407 Index futures 406 Anlageverhalten 356 Behavioural finance 356 Risk 327 Risiko 325 Risikoprämie 320 Risk premium 320 Estimation 304 Schätzung 303 Forecasting model 288 Prognoseverfahren 288 CAPM 270 Monte-Carlo-Simulation 219 Monte Carlo simulation 217 Aktienoption 207 Risikomanagement 201
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Online availability
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Free 2,118 Undetermined 1,597 CC license 93
Type of publication
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Article 3,689 Book / Working Paper 2,901 Journal 2
Type of publication (narrower categories)
All
Article in journal 3,464 Aufsatz in Zeitschrift 3,464 Graue Literatur 640 Non-commercial literature 640 Arbeitspapier 601 Working Paper 601 Aufsatz im Buch 180 Book section 180 Hochschulschrift 151 Thesis 109 Lehrbuch 71 Textbook 68 Glossar enthalten 42 Glossary included 42 Collection of articles of several authors 31 Sammelwerk 31 Bibliografie enthalten 27 Bibliography included 27 Ratgeber 26 Handbook 24 Handbuch 24 Collection of articles written by one author 21 Guidebook 21 Sammlung 21 Conference paper 17 Konferenzbeitrag 17 Aufsatzsammlung 16 Dissertation u.a. Prüfungsschriften 12 Amtsdruckschrift 9 Government document 9 CD-ROM, DVD 6 Forschungsbericht 6 Konferenzschrift 6 Accompanied by computer file 5 Elektronischer Datenträger als Beilage 5 Bibliografie 4 Einführung 4 Mehrbändiges Werk 3 Mikroform 3 Multi-volume publication 3
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Language
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English 6,204 German 289 Undetermined 48 Spanish 16 French 13 Polish 10 Italian 5 Dutch 5 Portuguese 4 Hungarian 2 Arabic 1 Czech 1 Swedish 1
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Author
All
Hull, John 40 Cui, Zhenyu 36 Ryu, Doojin 34 Madan, Dilip B. 32 Carr, Peter 29 Wang, Xingchun 28 Zhang, Jin E. 27 Perrakis, Stylianos 26 Fabozzi, Frank J. 24 Lee, Hangsuck 23 Fodor, Andy 22 Fusai, Gianluca 22 Stentoft, Lars 22 Kwok, Yue-Kuen 21 Joshi, Mark S. 20 Kelly, Bryan T. 20 Todorov, Viktor 20 Chiarella, Carl 19 Schoutens, Wim 19 Thomsett, Michael C. 19 Ewald, Christian-Oliver 18 Poteshman, Allen M. 18 Jacobs, Kris 17 Andersen, Torben 16 Fusari, Nicola 16 Härdle, Wolfgang 16 Jackwerth, Jens Carsten 16 Li, Lingfei 16 Wu, Liuren 16 Zhu, Song-Ping 16 Bebchuk, Lucian A. 15 Bernales, Alejandro 15 Chang, Chuang-chang 15 Kōnstantinidēs, Giōrgos 15 Takahashi, Akihiko 15 Czerwonko, Michal 14 Giglio, Stefano 14 He, Xin-Jiang 14 Levendorskii, Sergei 14 Orosi, Greg 14
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Institution
All
National Bureau of Economic Research 40 Centre for Analytical Finance <Århus> 10 Center for Economic Research <Tilburg> 7 Christian-Albrechts-Universität zu Kiel 4 Institut for Finansiering <Frederiksberg> 4 Chambre de commerce et d'industrie de Paris 3 Rodney L. White Center for Financial Research 3 Walter de Gruyter Inc. 3 Arbeitsgruppe Optionsgeschäft 2 European Parliament / Directorate-General for Internal Policies of the Union 2 International Centre for Trade and Sustainable Development 2 Judge Institute of Management Studies 2 Karlsruher Institut für Technologie 2 New York Institute of Finance 2 Pearson Studium 2 Svenska Handelshögskolan <Helsinki> 2 Weltwirtschaftsforum 2 Österreichische Termin- und Optionenbörse <Wien> 2 Australian National University / Faculty of Economics and Commerce 1 Banco Central do Brasil 1 Bank für Internationalen Zahlungsausgleich 1 Berliner Wissenschafts-Verlag 1 Birkbeck College / Department of Economics 1 Business Information Centre <Toronto> 1 Börsen-Buchverlag 1 Center for International Food and Agricultural Policy 1 Centre for Actuarial Studies 1 Chicago, Ill. / Board of Trade 1 City University 1 Cornell University / Department of Agricultural, Resource and Managerial Economics 1 Deutsche Forschungsgemeinschaft 1 Deutschland / Bundeswehr / Universität Hamburg 1 EOE 1 Eberhard Karls Universität Tübingen 1 Energy, Mines and Resources, Canada 1 Erasmus Research Institute of Management 1 European Stability Mechanism 1 Expert Meeting on Crisis and Development in Latin America and the Caribbean, Santiago, Chile, 29.4.-3.5.1985 1 Fachverlag für Wirtschafts- und Steuerrecht Schäffer <Stuttgart> 1 Federal Reserve Bank of Chicago 1
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Published in...
All
The journal of futures markets 210 International journal of theoretical and applied finance 147 Journal of banking & finance 118 The journal of derivatives : the official publication of the International Association of Financial Engineers 98 Quantitative finance 92 Applied mathematical finance 85 Review of derivatives research 82 The journal of computational finance 81 Finance research letters 78 Finance and stochastics 61 Mathematical finance : an international journal of mathematics, statistics and financial theory 60 The North American journal of economics and finance : a journal of financial economics studies 56 Journal of economic dynamics & control 54 Computational economics 53 Journal of financial economics 51 International journal of financial engineering 46 International review of economics & finance : IREF 43 Journal of financial markets 43 European journal of operational research : EJOR 42 Journal of mathematical finance 41 NBER working paper series 40 Review of quantitative finance and accounting 37 Journal of financial and quantitative analysis : JFQA 34 Research paper series / Swiss Finance Institute 34 Risks : open access journal 33 Management science : journal of the Institute for Operations Research and the Management Sciences 32 The European journal of finance 32 NBER Working Paper 31 Working paper / National Bureau of Economic Research, Inc. 31 International review of financial analysis 30 The review of financial studies 30 The journal of derivatives : JOD 29 Insurance / Mathematics & economics 27 Applied economics 26 Applied economics letters 26 Economic modelling 26 The journal of finance : the journal of the American Finance Association 26 Asia-Pacific financial markets 25 Journal of risk and financial management : JRFM 24 Wiley trading series 23
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Source
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ECONIS (ZBW) 6,482 USB Cologne (EcoSocSci) 107 RePEc 2 EconStor 1
Showing 1 - 50 of 6,592
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The transmission of monetary policy to the cost of hedging
Fengler, Matthias; Koenigera, Winfried; Minger, Stephan - 2025
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015196770
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A Bayesian stochastic discount factor for the cross-section of individual equity options
Käfer, Niclas; Mörke, Mathis; Weigert, Florian; … - 2025 - This version: April 23, 2024
We utilize Bayesian model averaging to estimate a stochastic discount factor (SDF) for single-stock options. A Bayesian model averaging SDF outperforms reduced-form benchmark models in-sample and out-of-sample in pricing option return anomalies and portfolios. We document that the SDF is dense...
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015204018
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The transmission of monetary policy to the cost of hedging
Fengler, Matthias; Koeniger, Winfried; Minger, Stephan - 2025
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Modeling financial bubbles with optional semimartingales in nonstandard probability spaces
Abdelghani, Mohamed; Melnikov, Alexander - 2025
Deviation of an asset price from its fundamental value, commonly referred to as a price bubble, is a well-known phenomenon in financial markets. Mathematically, a bubble arises when the deflated price process transitions from a martingale to a strict local martingale. This paper explores price...
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015358908
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Does options trading affect audit pricing?
Ali, Muhammad Jahangir; Balachandran, Balasingham; Huu … - In: Journal of business finance & accounting : JBFA 52 (2025) 1, pp. 609-651
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Pricing options on the maximum or the minimum of several assets with default risk
Zhang, Jiayi; Zhou, Ke - 2025
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The disciplinary role of options trading : evidence from earnings manipulation
Hao, Mengshu; Hong, Jieying - In: International review of economics & finance : IREF 98 (2025), pp. 1-20
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Optimal design of multi-asset options
Balbás de la Corte, Alejandro; Balbás, Beatriz; … - In: Risks : open access journal 13 (2025) 1, pp. 1-20
The combination of stochastic derivative pricing models and downside risk measures often leads to the paradox (risk, return) = (−infinity, +infinity) in a portfolio choice problem. The construction of a portfolio of derivatives with high expected returns and very negative downside risk...
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Multi-step double barrier options under time-varying interest rates
Lee, Hangsuck; Kye, Yisub; Kong, Byungdoo; Song, Seongjoo - 2025
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Valuing catastrophe equity put options with liquidity risk, default risk and jumps
Tang, Chao; Chen, Peimin; Zhang, Shu - 2025
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015372584
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Information spillovers prior to M&A announcements
Clancey-Shang, Danjue - In: Journal of risk and financial management : JRFM 15 (2022) 10, pp. 1-21
In this paper, I study trading activities prior to M&A announcements pertaining to the rivals of the merging firms. I find that not only acquirers and targets experience increases in abnormal trading activities in stock and option markets, but also their rivals. The rise in option trading is...
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10013471386
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Analytically pricing European options in dynamic markets : incorporating liquidity variations and economic cycles
He, Xin-Jiang; Pasricha, Puneet; Lin, Sha - In: Economic modelling 139 (2024), pp. 1-10
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Option-implied physical distributions
McGee, Richard; Post, Thierry; Potì, Valerio - 2024
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015197980
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Partial hedging in credit markets with structured derivatives : a quantitative approach using put options
Siggelkow, Constantin - In: Journal of derivatives and quantitative studies : … 32 (2024) 4, pp. 286-322
This study develops a novel method for mitigating credit risk through the use of structured derivatives, focusing in particular on the use of European put options as a strategic hedging tool. Inspired by the work of Merton (1974), our approach introduces the concept of default triggered by the...
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015173788
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The transmission of monetary policy to the cost of hedging
Fengler, Matthias; Koeniger, Winfried; Minger, Stephan - 2024
We analyze the transmission of monetary policy to the costs of hedging using options order book data. Monetary policy transmits to hedging costs both by changing the relevant state variables, such as the value of the underlying, its volatility and tail risk, and by affecting option market...
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015175386
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Option implied bond spread risk
Hudecz, Gergely (contributor); Moshammer, Edmund (contributor) - European Stability Mechanism - 2024
Government bond yield futures and related option contracts contain information on the asymmetry of interest rate risks. We construct probability distributions of marketimplied bond yield expectations up to 90 calendar days ahead between January 2018 and December 2023. We derive daily...
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Option implied dividends and the market risk premium
Aspris, Angelo; Malloch, Hamish; Svec, Jiri - In: International review of economics & finance : IREF 96 (2024) 2, pp. 1-14
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Framing the default option right
Meunier, Luc; Bashirzadeh, Yashar; Ohadi, Sima - In: Journal of behavioral decision making 37 (2024) 3, pp. 1-23
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Cover Image
The transmission of monetary policy to the cost of hedging
Fengler, Matthias; Koeniger, Winfried; Minger, Stephan - 2024
We analyze the transmission of monetary policy to the costs of hedging using options order book data. Monetary policy transmits to hedging costs both by changing the relevant state variables, such as the value of the underlying, its volatility and tail risk, and by affecting option market...
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015158136
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Closed-form approximations for basket option pricing under normal tempered stable Lévy model
Hu, Dongdong; Sayit, Hasanjan; Yao, Jing; Zhong, Qifeng - In: The North American journal of economics and finance : a … 74 (2024), pp. 1-22
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Pricing of discretely sampled arithmetic Asian options, under the Hull-White interest rate model
Kim, Bara; Kim, Jeongsim; Yoon, Hyungkuk; Lee, Jinyoung - In: The North American journal of economics and finance : a … 74 (2024), pp. 1-19
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015135005
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Valuing American options using multi-step rebate options
Lee, Hangsuck; Ha, Hongjun; Lee, Gaeun; Lee, Minha - In: The North American journal of economics and finance : a … 74 (2024), pp. 1-18
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015135027
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Spread option pricing under finite liquidity framework
Pirvu, Traian A.; Zhang, Shuming - In: Risks : open access journal 12 (2024) 11, pp. 1-14
This work explores a finite liquidity model to price spread options and assess the liquidity impact. We employ Kirk approximation for computing the spread option price and its delta. The latter is needed since the liquidity impact is caused by the delta hedging of a large investor. Our main...
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015135789
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Opioid crisis and firm downside tail risks : evidence from the option market
Cao, Jie Jay; Goyal, Amit; Wang, Yajing; Zhan, Xintong … - 2024 - This Version: August 2024
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015142175
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Two algos, one option: impact of new technology on mispricing and hedging strategies
Altmann, Stefan - 2024
This thesis contains three studies on the impact of new technologies on financial markets. The first study investigates in an experiment whether algorithmic trading has an impact on the formation of asset price bubbles. It finds that especially market-maker algorithms lead to traded prices being...
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015272249
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Realized volatility moments implied by options with applications to the pricing of realized volatility options
Rolloos, Frido; Shiraya, Kenichiro - 2024
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015164480
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The market risk premium in Australia : forward-looking evidence from the options market
Aspris, Angelo; Félez-Viñas, Ester; Foley, Sean; … - In: Accounting and finance 64 (2024) 4, pp. 3951-3972
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Fair and sustainable pension system : market equilibrium using implied options
Wolf, Ishay; Caridad y López del Río, Lorena - In: Risks : open access journal 12 (2024) 8, pp. 1-12
This study contributes to the discussion about a fair and balanced pension system with a collectively funded pension scheme or social security and a defined contribution pillar. With an invigorated risk approach using financial option positions, it considers the variance of socioeconomic...
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Trading option portfolios using expected profit and expected loss metrics
Venter, Johannes Hendrik; Jongh, Pieter Juriaan de - In: Risks : open access journal 12 (2024) 8, pp. 1-18
When trading in the call and put contracts of option chains, the portfolios of strikes must be selected. The trader must also decide whether to take long or short positions at the selected strikes. Dynamic strategies for making these decisions are discussed in this paper. On any day, the...
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Options on temporary water allocation rights and their pricing
Lee, Geoffrey; Dong, Wenfeng; Zhu, Zili - In: The Australian journal of agricultural and resource … 68 (2024) 2, pp. 335-348
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Arbitrage opportunities and efficiency tests in crypto derivatives
Alexander, Carol; Chen, Xi; Deng, Jun; Wang, Tianyi - In: Journal of financial markets 71 (2024), pp. 1-20
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015178403
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Hedging with physical or cash settlement under transient multiplicative price impact
Becherer, Dirk; Bilarev, Todor - In: Finance and stochastics 28 (2024) 2, pp. 285-328
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015130302
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Speeding up the Euler scheme for killed diffusions
Çetin, Umut; Hok, Julien - In: Finance and stochastics 28 (2024) 3, pp. 663-707
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015130359
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Pricing VIX options based on mean-reverting models driven by information
Yin, Ya-Hua; Zhu, Fu-min; Zheng, Zun-Xin - In: The North American journal of economics and finance : a … 74 (2024), pp. 1-23
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Volatility risk premium, good volatility and bad volatility : evidence from SSE 50 ETF options
Li, Zhe; Shen, Jiashuang; Xiao, Weilin - In: The North American journal of economics and finance : a … 74 (2024), pp. 1-17
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Option trading volume and the cross-section of option returns
Yuan, Jianglei; Liu, Dehong; Chen, Carl R.; Hu, Sen - In: The North American journal of economics and finance : a … 74 (2024), pp. 1-17
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015133708
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Put-Call parities, absence of arbitrage opportunities, and nonlinear pricing rules
Bastianello, Lorenzo; Chateauneuf, Alain; Cornet, Bernard - In: Mathematical finance : an international journal of … 34 (2024) 4, pp. 1242-1262
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Implied parameter estimation for jump diffusion option pricing models : pricing accuracy and the role of loss and evaluation functions
Hilliard, Jimmy E.; Hilliard, Jitka; Ngo, Julie T. D. - In: Journal of commodity markets : JCM 35 (2024), pp. 1-16
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First and second generation lookback and barrier options : enhancing pricing accuracy through Conditional Monte Carlo
Giribone, Pier Giuseppe; Tropiano, Federico - In: Risk management magazine 19 (2024) 3, pp. 4-27
This paper addresses the challenges associated with pricing exotic options, specifically path-dependent ones, with a focus on the limitations of standard Monte Carlo simulations and the advantages provided by Conditional Monte Carlo methods, introduced by Babsiri and Noel in 1998. Path dependent...
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Black-Scholes 50 years later : has the outperformance of passive option strategies finally faded?
Kumiega, Andrew; Sterijevski, Greg; Wills, Eric - 2024
Slightly over fifty years ago, the Black-Scholes option pricing model revolutionized investing by enabling a shift from linear to non-linear payoff structures. Myron Scholes later published two papers documenting the performance of passive option strategies that outperformed the underlying index...
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Rational hedging with a diversity of implied volatilities
Madan, Dilip B.; Wang, King - In: Frontiers of mathematical finance : FMF 3 (2024) 3, pp. 345-375
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Deterministic modelling of implied volatility in cryptocurrency options with underlying multiple resolution momentum indicator and non-linear machine learning regression algorithm
Leung, F.; Law, M.; Djeng, S. K. - In: Financial innovation : FIN 10 (2024), pp. 1-25
Modeling implied volatility (IV) is important for option pricing, hedging, and risk management. Previous studies of deterministic implied volatility functions (DIVFs) propose two parameters, moneyness and time to maturity, to estimate implied volatility. Recent DIVF models have included factors...
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015361594
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Pricing multi-asset options with tempered stable distributions
Xia, Yunfei; Grabchak, Michael - In: Financial innovation : FIN 10 (2024), pp. 1-24
We derive methods for risk-neutral pricing of multi-asset options, when log-returns jointly follow a multivariate tempered stable distribution. These lead to processes that are more realistic than the better known Brownian motion and stable processes. Further, we introduce the diagonal tempered...
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The lead-lag relation between VIX futures and SPX futures
Bangsgaard, Christine; Kokholm, Thomas - In: Journal of financial markets 67 (2024), pp. 1-26
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Whose option ratios contain information about future stock prices?
Koo, Bonha; Kim, Ryumi - In: Journal of derivatives and quantitative studies : … 32 (2024) 1, pp. 58-81
Using the next-day and next-week returns of stocks in the Korean market, we examine the association of option volume ratios - i.e. the option-to-stock (O/S) ratio, which is the total volume of put options and call options scaled by total underlying equity volume, and the put-call (P/C) ratio,...
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Accurate delta hedging of european options using conformable calculus
Olmos, Andrés; Muriel, Nelson - In: EconoQuantum : Revista de Economía y Negocios 21 (2024) 1, pp. 59-69
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On practitioners closed-form GARCH option pricing
Mozumder, Sharif; Frijns, Bart; Talukdar, Bakhtear; … - In: International review of financial analysis 94 (2024), pp. 1-12
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Options illiquidity in an over-the-counter market
Ahn, Jungkyu - In: International review of financial analysis 94 (2024), pp. 1-15
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Price dynamics and volatility jumps in bitcoin options
Chen, Kuo Shing; Yang, J. Jimmy - In: Financial innovation : FIN 10 (2024), pp. 1-29
In the FinTech era, we contribute to the literature by studying the pricing of Bitcoin options, which is timely and important given that both Nasdaq and the CME Group have started to launch a variety of Bitcoin derivatives. We fnd pricing errors in the presence of market smiles in Bitcoin...
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Model-free moments : predictability of STOXX Europe 600 Oil & Gas future returns
Capriotti, Alessio; Muzzioli, Silvia - 2024
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014550830
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