Pricing event risk : evidence from concave implied volatility curves
Lykourgos Alexiou, Amit Goyal, Alexandros Kostakis, Leonidas Rompolis
| Year of publication: |
2025
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|---|---|
| Authors: | Alexiou, Lykourgos ; Goyal, Amit ; Kostakis, Alexandros ; Rompolis, Leonidas |
| Published in: |
Review of finance : journal of the European Finance Association. - Oxford : Oxford University Press, ISSN 1875-824X, ZDB-ID 2214390-7. - Vol. 29.2025, 4, p. 963-1007
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| Subject: | earnings announcement | event risk | risk-neutral distribution | implied volatility | Volatilität | Volatility | Ankündigungseffekt | Announcement effect | Optionsgeschäft | Option trading | Optionspreistheorie | Option pricing theory | Risiko | Risk | Börsenkurs | Share price |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1093/rof/rfaf016 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10015459401