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~person:"Chang, Chuang-chang"
~person:"Perrakis, Stylianos"
~person:"Poteshman, Allen M."
~subject:"Nachfrage"
~subject:"Share price"
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Nachfrage
Share price
Option trading
48
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48
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20
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20
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Chang, Chuang-chang
Perrakis, Stylianos
Poteshman, Allen M.
Ryu, Doojin
10
Fodor, Andy
8
Pedersen, Lasse Heje
7
Truong, Cameron
7
Pearson, Neil D.
6
Augustin, Patrick
5
Farhi, Emmanuel
5
Gabaix, Xavier
5
Garleanu, Nicolae
5
Pan, Jun
5
Stentoft, Lars
5
Subrahmanyam, Marti G.
5
Barras, Laurent
4
Brenner, Menachem
4
Cao, Jie
4
Chang, Chia-Lin
4
Lung, Peter P.
4
Malkhozov, Aytek
4
McAleer, Michael
4
Spyrou, Spyros I.
4
Tsekrekos, Andrianos E.
4
Violante, Francesco
4
Zhan, Xintong
4
Barraclough, Kathryn
3
Bechmann, Ken L.
3
Chatrath, Arjun
3
Chiang, Chin-Han
3
Crouhy, Michel
3
Diavatopoulos, Dean
3
Doran, James S.
3
Frey, Rüdiger
3
Galai, Dan
3
Han, Bing
3
Hu, Jianfeng
3
Kang, Jangkoo
3
Krieger, Kevin
3
Lee, Jaeram
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3
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ECONIS (ZBW)
15
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1
Does Option Trading Have a Pervasive Impact on Underlying Stock Prices?
Ni, Sophie Xiaoyan
-
2020
The question of whether and to what extent option trading impacts underlying stock prices has been of interest since options began exchange-based trading in 1973. Recent research presents evidence of an informational channel through which option trading impacts stock prices by showing that...
Persistent link: https://www.econbiz.de/10012854979
Saved in:
2
Does option trading have a pervasive impact on underlying stock prices?
Ni, Sophie X.
;
Pearson, Neil D.
;
Poteshman, Allen M.
; …
- In:
The review of financial studies
34
(
2021
)
4
,
pp. 1952-1986
Persistent link: https://www.econbiz.de/10012504731
Saved in:
3
Tick Size, Microstructure Noise and Volatility Inversion Effects on Price Discovery in Option Markets : Theory and Empirical Evidence
Czerwonko, Michal
-
2012
We document both theoretically and empirically a major dependence in both the Information Shares (IS) and Component Shares (CS) approaches to the estimation of the price discovery metrics on the errors arising out of the inversion method of the option value to find the implied stock price. We...
Persistent link: https://www.econbiz.de/10013114231
Saved in:
4
Tick Size, Microstructure Noise and Volatility Inversion Effects on Price Discovery in Option Markets : Theory and Empirical Evidence
Czerwonko, Michal
-
2011
We document both theoretically and empirically a major dependence in both the Information Shares (IS) and Component Shares (CS) approaches to the estimation of the price discovery metrics on the errors arising out of the inversion method of the option value to find the implied stock price. We...
Persistent link: https://www.econbiz.de/10013121295
Saved in:
5
Demand-Based Option Pricing
Garleanu, Nicolae
-
2010
We model the demand-pressure effect on prices when options cannot be perfectly hedged. The model shows that demand pressure in one option contract increases its price by an amount proportional to the variance of the unhedgeable part of the option. Similarly, the demand pressure increases the...
Persistent link: https://www.econbiz.de/10012761687
Saved in:
6
Demand-based option pricing
Garleanu, Nicolae
;
Pedersen, Lasse Heje
;
Poteshman, Allen M.
-
2005
Persistent link: https://www.econbiz.de/10003240184
Saved in:
7
Demand-based option pricing
Garleanu, Nicolae
(
contributor
); …
-
2005
derivative and its payoffs. For a
European
option
, for instance, the strike price, maturity date, and whether the option is a …
Persistent link: https://www.econbiz.de/10003726854
Saved in:
8
Demand-Based Option Pricing
Garleanu, Nicolae
-
2005
We model the demand-pressure effect on prices when options cannot be perfectly hedged. The model shows that demand pressure in one option contract increases its price by an amount proportional to the variance of the unhedgeable part of the option. Similarly, the demand pressure increases the...
Persistent link: https://www.econbiz.de/10012466828
Saved in:
9
The information of option volume for future stock prices
Pan, Jun
;
Poteshman, Allen M.
-
2004
Persistent link: https://www.econbiz.de/10002485370
Saved in:
10
The Information of Option Volume for Future Stock Prices
Poteshman, Allen M.
-
2004
We present strong evidence that option trading volume contains information about future stock price movements. Taking advantage of a unique dataset from the Chicago Board Options Exchange, we construct put-call ratios from option volume initiated by buyers to open new positions. On a...
Persistent link: https://www.econbiz.de/10012785364
Saved in:
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