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The journal of futures markets
International journal of theoretical and applied finance
111
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86
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74
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64
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ECONIS (ZBW)
194
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1
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194
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1
Quality issues of implied volatilities of index and stock options in the OptionMetrics IvyDB database
Wallmeier, Martin
- In:
The journal of futures markets
44
(
2024
)
5
,
pp. 854-875
Persistent link: https://www.econbiz.de/10014536695
Saved in:
2
Lever up! : an analysis of options trading in leveraged ETFs
Gilstrap, Collin
;
Petkevich, Alex
;
Teterin, Pavel
; …
- In:
The journal of futures markets
44
(
2024
)
6
,
pp. 986-1002
Persistent link: https://www.econbiz.de/10014536712
Saved in:
3
Term spreads of implied volatility smirk and variance risk premium
Guo, Wei
;
Ruan, Xinfeng
;
Gehricke, Sebastian A.
;
Zhang, …
- In:
The journal of futures markets
43
(
2023
)
7
,
pp. 829-857
Persistent link: https://www.econbiz.de/10014293246
Saved in:
4
Hedging options in a hidden Markov-switching local-volatility model via stochastic flows and a Monte-Carlo method
Elliott, Robert J.
;
Siu, Tak Kuen
- In:
The journal of futures markets
43
(
2023
)
7
,
pp. 925-950
Persistent link: https://www.econbiz.de/10014293270
Saved in:
5
The role of option-based information on StockTwits, options trading volume, and stock returns
Heng, Zin Yau
;
Leung, Henry
- In:
The journal of futures markets
43
(
2023
)
8
,
pp. 1091-1125
Persistent link: https://www.econbiz.de/10014339375
Saved in:
6
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
Saved in:
7
VIX option-implied volatility slope and VIX futures returns
Yoon, Jungah
;
Ruan, Xinfeng
;
Zhang, Jin E.
- In:
The journal of futures markets
42
(
2022
)
6
,
pp. 1002-1038
Persistent link: https://www.econbiz.de/10013287910
Saved in:
8
Effects of the Covid-19 pandemic on derivatives markets : evidence from global futures and options exchanges
Emm, Ekaterina E.
;
Gay, Gerald D.
;
Ma, Han
;
Ren, Honglin
- In:
The journal of futures markets
42
(
2022
)
5
,
pp. 823-851
Persistent link: https://www.econbiz.de/10013187605
Saved in:
9
Early exercise, implied volatility spread and future stock return : jumps bind them all
Garrett, Ian
;
Gazi, Adnan
- In:
The journal of futures markets
44
(
2024
)
5
,
pp. 720-743
Persistent link: https://www.econbiz.de/10014536677
Saved in:
10
A model-free approximation for barrier options in a general stochastic volatility framework
Rolloos, Frido
;
Shiraya, Kenichiro
- In:
The journal of futures markets
44
(
2024
)
6
,
pp. 923-935
Persistent link: https://www.econbiz.de/10014536706
Saved in:
11
VIX option pricing through nonaffine GARCH dynamics and semianalytical formula
Liu, Junting
;
Wang, Qi
;
Zhang, Yuanyuan
- In:
The journal of futures markets
44
(
2024
)
7
,
pp. 1189-1223
Persistent link: https://www.econbiz.de/10014553980
Saved in:
12
Analytically pricing exchange options with stochastic liquidity and regime switching
He, Xin-Jiang
;
Lin, Sha
- In:
The journal of futures markets
43
(
2023
)
5
,
pp. 662-676
Persistent link: https://www.econbiz.de/10014293179
Saved in:
13
American strangle options with arbitrary strikes
Zaevski, Tsvetelin S.
- In:
The journal of futures markets
43
(
2023
)
7
,
pp. 880-903
Persistent link: https://www.econbiz.de/10014293264
Saved in:
14
Analytically pricing European options under a hybrid stochastic volatility and interest rate model with a general correlation structure
He, Xin-Jiang
;
Lin, Sha
- In:
The journal of futures markets
43
(
2023
)
7
,
pp. 951-967
Persistent link: https://www.econbiz.de/10014293271
Saved in:
15
Belief distortion near 52W high and low : evidence from Indian equity options market
Saurav, Sumit
;
Agarwalla, Sobhesh Kumar
;
Varma, Jayanth Rama
- In:
The journal of futures markets
43
(
2023
)
11
,
pp. 1531-1558
Persistent link: https://www.econbiz.de/10014432915
Saved in:
16
Harvesting the volatility smile in a large emerging market : a Dynamic Nelson-Siegel approach
Kumar, Sudarshan
;
Agarwalla, Sobhesh Kumar
;
Varma, …
- In:
The journal of futures markets
43
(
2023
)
11
,
pp. 1615-1644
Persistent link: https://www.econbiz.de/10014432920
Saved in:
17
Changes in the options contract size and arbitrage opportunities
Song, Joonhyuk
;
Ryu, Doojin
;
Yu, Jinyoung
- In:
The journal of futures markets
43
(
2023
)
1
,
pp. 122-137
Persistent link: https://www.econbiz.de/10013465898
Saved in:
18
Pricing arithmetic Asian and Amerasian options : a diffusion operator integral expansion approach
Ding, Kailin
;
Cui, Zhenyu
;
Yang, Xiaoguang
- In:
The journal of futures markets
43
(
2023
)
2
,
pp. 217-241
Persistent link: https://www.econbiz.de/10014293009
Saved in:
19
Pricing multiasset time-varying double-barrier options with time-dependent parameters
Lyuu, Yuh-dauh
;
Zhang, Yu-Quan
- In:
The journal of futures markets
43
(
2023
)
3
,
pp. 404-434
Persistent link: https://www.econbiz.de/10014293107
Saved in:
20
One session options : playing the announcement lottery?
Smales, Lee A.
;
Liu, Zhangxin
;
Robertson, Cameron D.
- In:
The journal of futures markets
42
(
2022
)
2
,
pp. 192-211
Persistent link: https://www.econbiz.de/10012817850
Saved in:
21
Speculation or hedging? : options trading prior to FOMC announcements
Jiang, George J.
;
Pan, Guanzhong
- In:
The journal of futures markets
42
(
2022
)
2
,
pp. 212-230
Persistent link: https://www.econbiz.de/10012817855
Saved in:
22
Who and what drives informed options trading after the market opens?
Kang, Jongho
;
Kang, Jangkoo
;
Lee, Jaeram
- In:
The journal of futures markets
42
(
2022
)
3
,
pp. 338-364
Persistent link: https://www.econbiz.de/10012817917
Saved in:
23
Piecewise linear double barrier options
Lee, Hangsuck
;
Ha, Hongjun
;
Lee, Minha
- In:
The journal of futures markets
42
(
2022
)
1
,
pp. 125-151
Persistent link: https://www.econbiz.de/10012796299
Saved in:
24
Approximate pricing of American exchange options with jumps
Lian, Guanghua
;
Elliott, Robert J.
;
Kalev, Petko S.
; …
- In:
The journal of futures markets
42
(
2022
)
6
,
pp. 983-1001
Persistent link: https://www.econbiz.de/10013287907
Saved in:
25
GARCH pricing and hedging of VIX options
Liu, Qiang
;
Jiao, Yuhan
;
Guo, Shuxin
- In:
The journal of futures markets
42
(
2022
)
6
,
pp. 1039-1066
Persistent link: https://www.econbiz.de/10013287915
Saved in:
26
Resale options and heterogeneous beliefs
Huang, Kai-Min
;
Kuo, I.-doun
;
Wang, Rong-Tsorng
- In:
The journal of futures markets
42
(
2022
)
6
,
pp. 1067-1083
Persistent link: https://www.econbiz.de/10013287916
Saved in:
27
Hedging pressure and liquidity provision in commodity options markets
Zhang, Tianyang
- In:
The journal of futures markets
42
(
2022
)
7
,
pp. 1212-1233
Persistent link: https://www.econbiz.de/10013287942
Saved in:
28
Pricing cancellable American put options on the finite time horizon
Zaevski, Tsvetelin S.
- In:
The journal of futures markets
42
(
2022
)
7
,
pp. 1284-1303
Persistent link: https://www.econbiz.de/10013287957
Saved in:
29
Power-type derivatives for rough volatility with jumps
Wang, Liang
;
Xia, Weixuan
- In:
The journal of futures markets
42
(
2022
)
7
,
pp. 1369-1406
Persistent link: https://www.econbiz.de/10013287974
Saved in:
30
Analyzing interactive call, default, and conversion policies for corporate bonds
Liu, Liang-Chih
;
Dai, Tian-Shyr
;
Zhou, Lei
;
Chang, Hao-Han
- In:
The journal of futures markets
42
(
2022
)
8
,
pp. 1597-1638
Persistent link: https://www.econbiz.de/10013288012
Saved in:
31
Information contents of intraday SSE 50 ETF options trades
Luo, Xingguo
;
Cai, Wenye
;
Ryu, Doojin
- In:
The journal of futures markets
42
(
2022
)
4
,
pp. 580-604
Persistent link: https://www.econbiz.de/10013187563
Saved in:
32
Information and the arrival rate of option trading volume
Zhang, Mengyu
;
Verousis, Thanos
;
Kalaitzoglou, Iordanis
- In:
The journal of futures markets
42
(
2022
)
4
,
pp. 605-644
Persistent link: https://www.econbiz.de/10013187564
Saved in:
33
Option-implied moments and the cross-section of stock returns
Alexiou, Lykourgos
;
Rompolis, Leonidas S.
- In:
The journal of futures markets
42
(
2022
)
4
,
pp. 668-691
Persistent link: https://www.econbiz.de/10013187580
Saved in:
34
Multi-step reflection principle and barrier options
Lee, Hangsuck
;
Lee, Gaeun
;
Song, Seongjoo
- In:
The journal of futures markets
42
(
2022
)
4
,
pp. 692-721
Persistent link: https://www.econbiz.de/10013187581
Saved in:
35
Pricing VXX options by modeling VIX directly
Lin, Wei
;
Zhang, Jin E.
- In:
The journal of futures markets
42
(
2022
)
5
,
pp. 888-922
Persistent link: https://www.econbiz.de/10013187612
Saved in:
36
Investment horizon and option market activity
Kim, Da-Hea
- In:
The journal of futures markets
42
(
2022
)
5
,
pp. 923-958
Persistent link: https://www.econbiz.de/10013187613
Saved in:
37
Volatility model applications in China's SSE50 options market
Chi, Yeguang
;
Hao, Wenyan
;
Zhang, Yifei
- In:
The journal of futures markets
42
(
2022
)
9
,
pp. 1704-1720
Persistent link: https://www.econbiz.de/10013465807
Saved in:
38
The information content of the volatility index options trading volume
Gu, Chen
;
Guo, Xu
;
Kurov, Alexander
;
Stan, Raluca
- In:
The journal of futures markets
42
(
2022
)
9
,
pp. 1721-1737
Persistent link: https://www.econbiz.de/10013465809
Saved in:
39
Are option traders more informed than Twitter users? : a PVAR analysis
Frino, Alex
;
Xu, Caihong
;
Zhou, Z. Ivy
- In:
The journal of futures markets
42
(
2022
)
9
,
pp. 1755-1771
Persistent link: https://www.econbiz.de/10013465812
Saved in:
40
Piecewise linear boundary crossing probabilities, barrier options, and variable annuities
Lee, Hangsuck
;
Ha, Hongjun
;
Lee, Minha
- In:
The journal of futures markets
42
(
2022
)
12
,
pp. 2248-2272
Persistent link: https://www.econbiz.de/10013465884
Saved in:
41
Does option-implied cross-sectional return dispersion forecast realized cross-sectional return dispersion? : evidence from the G10 currencies
Grobys, Klaus
;
Heinonen, Jari-Pekka
- In:
The journal of futures markets
37
(
2017
)
1
,
pp. 3-22
Persistent link: https://www.econbiz.de/10011669743
Saved in:
42
Option pricing with threshold mean reversion
Chi, Zeyu
;
Dong, Fangyuan
;
Wong, Hoi Ying
- In:
The journal of futures markets
37
(
2017
)
2
,
pp. 107-131
Persistent link: https://www.econbiz.de/10011669768
Saved in:
43
Cross-hedging ambiguous exchange rate risk
Kit, Pong Wong
- In:
The journal of futures markets
37
(
2017
)
2
,
pp. 132-147
Persistent link: https://www.econbiz.de/10011669769
Saved in:
44
The skewness implied in the Heston model and its application
Zhang, Jin E.
;
Zhen, Fang
;
Sun, Xiaoxia
;
Zhao, Huimin
- In:
The journal of futures markets
37
(
2017
)
3
,
pp. 211-237
Persistent link: https://www.econbiz.de/10011669807
Saved in:
45
Option pricing with the realized GARCH model : an analytical approximation approach
Huang, Zhuo
;
Wang, Tianyi
;
Hansen, Peter Reinhard
- In:
The journal of futures markets
37
(
2017
)
4
,
pp. 328-358
Persistent link: https://www.econbiz.de/10011950674
Saved in:
46
AVIX : an improved VIX based on stochastic interest rates and an adaptive screening mechanism
Zheng, Zhenlong
;
Jiang, Zhengyun
;
Chen, Rong
- In:
The journal of futures markets
37
(
2017
)
4
,
pp. 374-410
Persistent link: https://www.econbiz.de/10011950692
Saved in:
47
Option market characteristics and price monotonicity violations
Yang, Heejin
;
Choi, Hyung-Suk
;
Ryu, Doojin
- In:
The journal of futures markets
37
(
2017
)
5
,
pp. 473-498
Persistent link: https://www.econbiz.de/10011950721
Saved in:
48
The valuation of power exchange options with counterparty risk and jump risk
Wang, Xingchun
;
Song, Shiyu
;
Wang, Yongjin
- In:
The journal of futures markets
37
(
2017
)
5
,
pp. 499-521
Persistent link: https://www.econbiz.de/10011950726
Saved in:
49
Anchoring and probability weighting in option prices
DeLisle, R. Jared
;
Diavatopoulos, Dean
;
Fodor, Andy
; …
- In:
The journal of futures markets
37
(
2017
)
6
,
pp. 614-638
Persistent link: https://www.econbiz.de/10011950850
Saved in:
50
Pricing the CBOE VIX futures with the Heston-Nandi GARCH model
Wang, Tianyi
;
Shen, Yiwen
;
Jiang, Yueting
;
Huang, Zhuo
- In:
The journal of futures markets
37
(
2017
)
7
,
pp. 641-659
Persistent link: https://www.econbiz.de/10011950860
Saved in:
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