Search Results - subject:"Option-implied information"

Volatility risk premium, good volatility and bad volatility : evidence from SSE 50 ETF options

Li, Zhe; Shen, Jiashuang; Xiao, Weilin - In: The North American journal of economics and finance : a … 74 (2024), pp. 1-17

Persistent link: https://www.econbiz.de/10015133586

Option profit and loss attribution and pricing in the Chinese options market

Jia, Xiaolan; Fan, Zheqi; Ruan, Xinfeng - In: Pacific-Basin finance journal 91 (2025), pp. 1-13

Persistent link: https://www.econbiz.de/10015405136

Option-implied information and quality of patents

Li, Wei-Hsien; Liang, Jiahang; Lin, Zih-Ying - In: European financial management : the journal of the … 30 (2024) 1, pp. 164-186

Persistent link: https://www.econbiz.de/10014470417

Option-implied ambiguity and equity return predictability

Liu, Yanchu; Liu, Chen; Chen, Yiyao; Sun, Xianming - In: The journal of futures markets 44 (2024) 9, pp. 1556-1577

Persistent link: https://www.econbiz.de/10015110690

Detecting political event risk in the option market

Kostakis, Alexandros; Mu, Liangyi; Otsubo, Yoichi - In: Journal of banking & finance 146 (2023), pp. 1-22

Persistent link: https://www.econbiz.de/10014248198

Model-free bounds for multi-asset options using option-implied information and their exact computation

Neufeld, Ariel; Papapantoleon, Antonis; Xiang, Qikun - In: Management science : journal of the Institute for … 69 (2023) 4, pp. 2051-2068

Persistent link: https://www.econbiz.de/10014305379

Option-based intermediary leverage

Gruenthaler, Thomas; Lorenz, Friedrich; Meyerhof, Paul - In: Journal of banking & finance 145 (2022), pp. 1-15

Persistent link: https://www.econbiz.de/10013538968

Positive stock information in out-of-the-money option prices

Gkionis, Konstantinos; Kostakis, Alexandros; … - 2018

We examine whether the option market leads the stock market with respect to positive in addition to negative price discovery. We document that out-of-themoney (OTM) option prices, which determine the Risk-Neutral Skewness (RNS) of the underlying stock return's distribution, can embed positive...

Persistent link: https://www.econbiz.de/10012144203

Positive stock information in out-of-the-money option prices

Gkionis, Konstantinos; Kostakis, Alexandros; … - 2018

Persistent link: https://www.econbiz.de/10011872403

Positive stock information in out-of-the-money option prices

Gkionis, Konstantinos; Kostakis, Alexandros; … - In: Journal of banking & finance 128 (2021), pp. 1-19

Persistent link: https://www.econbiz.de/10012821608

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