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~source:"econis"
~subject:"Coronavirus"
~subject:"Option pricing theory"
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Search: subject:"S&P 500 Index"
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Option pricing theory
Aktienindex
30
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30
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25
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25
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25
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Sala, Carlo
4
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3
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1
Joint calibration of S&P 500 and VIX options under local stochastic volatility models
Zhou, Zhiqiang
;
Xu, Wei
;
Rubtsov, Alexey
- In:
International journal of finance & economics : IJFE
29
(
2024
)
1
,
pp. 273-310
Persistent link: https://www.econbiz.de/10014469009
Saved in:
2
COVID-19 effects on the
S&P
500
Index
Yilmazkuday, Hakan
-
2021
-
This version: August 14th, 2021
Persistent link: https://www.econbiz.de/10012653539
Saved in:
3
Analysis of option trading strategies based on the relation of implied and realized S&P500 volatilities
Brunhuemer, Alexander
;
Larcher, Gerhard
;
Larcher, Lukas
- In:
ACRN journal of finance and risk perspectives
10
(
2021
),
pp. 166-203
based on historical option price data. Some of these strategies show significant outperformance in relation to the
S&P
500
…
index
. We seek to explain this outperformance by modeling the negative correlation between the S&P500 and its implied …
Persistent link: https://www.econbiz.de/10013198281
Saved in:
4
Corporate Financial Resilience : Empirical Evidence from the United States
Steenblock, Mascha
;
Aepli, Matthias Daniel
; …
-
2023
This research presents a rigorous investigation of US companies' financial resilience within the
S&P
500
index
from the …
Persistent link: https://www.econbiz.de/10014415172
Saved in:
5
COVID-19 effects on the
S&P
500
Index
Yilmazkuday, Hakan
- In:
Applied economics letters
30
(
2023
)
1
,
pp. 7-13
Persistent link: https://www.econbiz.de/10013552944
Saved in:
6
Spillovers and connectedness between green bond and stock markets in bearish and bullish market scenarios
Mensi, Walid
;
Muhammad Shafiullah
;
Xuan Vinh Vo
;
Kang, …
- In:
Finance research letters
49
(
2022
),
pp. 1-8
Persistent link: https://www.econbiz.de/10013479407
Saved in:
7
Dynamic volatility spillovers between industries in the US stock market : evidence from the COVID-19 pandemic and Black Monday
Choi, Sun-Yong
- In:
The North American journal of economics and finance : a …
59
(
2022
),
pp. 1-16
Persistent link: https://www.econbiz.de/10013413560
Saved in:
8
Overnight volatility, realized volatility, and option pricing
Wang, Tianyi
;
Cheng, Sicong
;
Yin, Fangsheng
;
Yu, Mei
- In:
The journal of futures markets
42
(
2022
)
7
,
pp. 1264-1283
Persistent link: https://www.econbiz.de/10013287956
Saved in:
9
S&P
500
index
, an option-implied risk analysis
Barone-Adesi, Giovanni
;
Legnazzi, Chiara
;
Sala, Carlo
-
2018
classical risk measures for the
S&P
500
Index
. Delivering good results both at short and long time horizons, the proposed option …
Persistent link: https://www.econbiz.de/10011899623
Saved in:
10
Forecasting the volatility of asset returns : the informational gains from option prices
Martin, Vance
;
Tang, Chrismin
;
Yao, Wenying
- In:
International journal of forecasting
37
(
2021
)
2
,
pp. 862-880
Persistent link: https://www.econbiz.de/10012792874
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