Search Results - subject:"option-implied"

Gao, Xiang; Koedijk, Kees; Walther, Thomas; Wang, Zhan - In: International review of economics & finance : IREF 100 (2025), pp. 1-16

Persistent link: https://www.econbiz.de/10015456274

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

Financial market discipline on bank risk : implications of state ownership

Kazdal, Abdullah; Kılıç, Yavuz; Yılmaz, Muhammed Hasan - In: Central Bank review / Central Bank of the Republic of Turkey 24 (2024) 2, pp. 1-15

This study investigates the link between capital market discipline and bank-level credit risk with a special emphasis on the role of bank ownership structure. Focusing on a large emerging market, Türkiye, characterized by a prominent state bank presence, our baseline regression results indicate...

Persistent link: https://www.econbiz.de/10014574457

On a robust estimation of option-implied interest rates and dividend yields

Kamau, Muoria; Mwaniki, Ivivi Joseph - In: Cogent economics & finance 11 (2023) 2, pp. 1-20

In this paper, a simple no-arbitrage methodology to estimate option-implied interest rates and dividend yields …

Persistent link: https://www.econbiz.de/10014501256

Estimation of rare disaster concerns from option prices : an arbitrage-free RND-based smile construction approach

Albert, Pascal; Herold, Michael; Muck, Matthias - In: The journal of futures markets 43 (2023) 12, pp. 1807-1835

Persistent link: https://www.econbiz.de/10014433013

Machine learning for modeling stock returns

Xu, Teng Andrea - 2024

Persistent link: https://www.econbiz.de/10015593659

Option-implied skewness and the value of financial intermediaries

Bressan, Silvia; Weissensteiner, Alex - In: Journal of financial services research 64 (2023) 2, pp. 207-229

Persistent link: https://www.econbiz.de/10014380690

Domain stabilization for model-free option implied moment estimation

Lee, Geul; Ryu, Doojin; Li, Yang - In: Journal of financial econometrics 23 (2025) 2, pp. 1-32

Persistent link: https://www.econbiz.de/10015339752

On a robust estimation of option-implied interest rates and dividend yields

Kamau, Muoria; Mwaniki, Ivivi Joseph - In: Cogent Economics & Finance 11 (2023) 2, pp. 1-20

In this paper, a simple no-arbitrage methodology to estimate option-implied interest rates and dividend yields …

Persistent link: https://www.econbiz.de/10015074799

Informativeness of truncation in the options market

Lee, Geul; Ryu, Doojin; Yang, Li - In: Finance research letters 72 (2025), pp. 1-6

Persistent link: https://www.econbiz.de/10015176872