Search Results - subject:"Option"

In search of seasonality in intraday and overnight option returns

Bali, Turan G.; Goyal, Amit; Mörke, Mathis; Weigert, … - 2026

We uncover momentum and reversal patterns in half-day option returns that persist for up to at least 20 business days … increase over time, are robust to various delta-hedging schemes and option selection criteria, and persist across different …

Persistent link: https://www.econbiz.de/10015591093

Do changes in the implied volatility of stock options predict future changes in CDS spreads?

Hong, Changsoo; Park, Yuen Jung - 2025

This study examines whether changes in the implied volatility of stock options have cross-sectional predictability for future changes in credit default swap (CDS) spreads in the Korean market. The major findings are as follows. First, in the CDS portfolio analysis, when buying a portfolio with...

Persistent link: https://www.econbiz.de/10015432424

Information-neutral hedging of derivatives under market impact and manipulation risk

Alimoradian, Behzad; Barigou, Karim; Eyraud, Anne - 2026

The literature on derivative pricing in illiquid markets has mostly focused on computing optimal hedging controls, but empirical microstructure studies show that large order flow generates persistent and predictable price effects. Therefore, these controls can themselves induce endogenous market...

Persistent link: https://www.econbiz.de/10015591116

Study on the validity of volatility trading

Castillo, Alberto; Mcwilliams, Jose Manuel Mira - 2026

This study examines the role of volatility mean reversion in option pricing and evaluates the performance of commonly … used volatility estimators within a broad market context. Using a comprehensive dataset of end-of-day option chains for the … strength of mean reversion in volatility. To assess the accuracy and practical usability of volatility metrics for option …

Persistent link: https://www.econbiz.de/10015628389

Hidden optionalities in American options

El Hassan, Noura; Maddah, Bacel; Taleb, Nassim Nicholas - 2026

We develop a practical framework for identifying and quantifying the hidden layers of risks and optionality embedded in American options by introducing stochasticity into one or more of their underlying determinants. The heuristic approach remedies the problems of conventional pricing systems,...

Persistent link: https://www.econbiz.de/10015640263

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

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 in characteristics with the impliedrealized volatility spread, option …

Persistent link: https://www.econbiz.de/10015204018

Evaluation of perpetual American put options with general payoff

Anzilli, Luca; Cananà, Lucianna - 2025

underlying asset. Furthermore, this approach allows us to derive closed-form solutions for option pricing. …

Persistent link: https://www.econbiz.de/10015436537

American options with liquidation penalties

Battauz, Anna; De Donno, Marzia; Sbuelz, Alessandro - 2025

Persistent link: https://www.econbiz.de/10015437263

Characteristic function-based factor modeling of affine jump-diffusions using options

Boswijk, Herman Peter; Laeven, Roger J. A.; Marijnen, Niels - 2026

We develop a framework to analyze option markets using factor modeling techniques, offering a novel method to study how … many and which risk factors drive the price process of a single asset. We exploit information contained in option prices to …. We establish consistency and asymptotic normality of the option-based log-characteristic function estimator, and provide …

Persistent link: https://www.econbiz.de/10015656743

Analytical valuation of a general form of barrier option with stochastic interest rate and jumps

Guillaume, Tristan - 2025

Persistent link: https://www.econbiz.de/10015440659