Jumps in option prices and their determinants : real-time evidence from the E-mini S&P 500 options market
George Kapetanios, Eirini Konstantinidi, Michael Neumann, George Skiadopoulos
| Year of publication: |
2019
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|---|---|
| Authors: | Kapetanios, George ; Konstantinidi, Eirini ; Neumann, Michael ; Skiadopoulos, George |
| Published in: |
Journal of financial markets. - Amsterdam [u.a.] : Elsevier, ISSN 1386-4181, ZDB-ID 1402747-1. - Vol. 46.2019, p. 1-26
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| Subject: | Asymmetric information | Co-jump | Limit order book market | Liquidity | News announcement | Option market | Optionsgeschäft | Option trading | Asymmetrische Information | Optionspreistheorie | Option pricing theory | Ankündigungseffekt | Announcement effect | Derivat | Derivative | Volatilität | Volatility | Börsenkurs | Share price | Wertpapierhandel | Securities trading | Index-Futures | Index futures | Geld-Brief-Spanne | Bid-ask spread | Schätzung | Estimation |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.finmar.2019.100506 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012317888