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Finanzmarkt und Portfolio-Management
Review of quantitative finance and accounting
Management science : journal of the Institute for Operations Research and the Management Sciences
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189
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111
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94
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ECONIS (ZBW)
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The informational content of high-frequency option prices
Amaya, Diego
;
Bégin, Jean-François
;
Gauthier, Geneviève
- In:
Management science : journal of the Institute for …
68
(
2022
)
3
,
pp. 2166-2201
Persistent link: https://www.econbiz.de/10013267926
Saved in:
2
A reduced-form model for lease contract valuation with embedded options
Chang, Chuang-chang
;
Ho, Hsiao-Wei
;
Huang, Henry Hongren
; …
- In:
Review of quantitative finance and accounting
62
(
2024
)
2
,
pp. 841-864
Persistent link: https://www.econbiz.de/10014503183
Saved in:
3
On the nature of (jump) skewness risk premia
Orłowski, Piotr
;
Schneider, Paul
;
Trojani, Fabio
- In:
Management science : journal of the Institute for …
70
(
2024
)
2
,
pp. 1154-1174
Persistent link: https://www.econbiz.de/10014513916
Saved in:
4
The information in hedge fund option holdings
Anand, Amber
;
Hua, Jian
;
Puckett, Andy
- In:
Management science : journal of the Institute for …
70
(
2024
)
3
,
pp. 1832-1854
Persistent link: https://www.econbiz.de/10014515151
Saved in:
5
Recovering implied volatility
Kadan, Ohad
;
Liu, Fang
;
Tang, Xiaoxiao
- In:
Management science : journal of the Institute for …
70
(
2024
)
1
,
pp. 255-282
Persistent link: https://www.econbiz.de/10014469958
Saved in:
6
Default risk and option returns
Vasquez, Aurelio
;
Xiao, Xiao
- In:
Management science : journal of the Institute for …
70
(
2024
)
4
,
pp. 2144-2167
Persistent link: https://www.econbiz.de/10014519915
Saved in:
7
Option trading activity, news releases, and stock return predictability
Weinbaum, David
;
Fodor, Andrew
;
Muravyev, Dmitriy
; …
- In:
Management science : journal of the Institute for …
69
(
2023
)
8
,
pp. 4810-4827
Persistent link: https://www.econbiz.de/10014339460
Saved in:
8
Investor attention and option returns
Choy, Siu Kai
;
Wei, Jason
- In:
Management science : journal of the Institute for …
69
(
2023
)
8
,
pp. 4845-4863
Persistent link: https://www.econbiz.de/10014339468
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9
Option implied riskiness and risk-taking incentives of executive compensation
Lu, Chia-Chi
;
Shen, Hsin-han
;
Shih, Pai-Ta
;
Tsai, Wei‐Che
- In:
Review of quantitative finance and accounting
60
(
2023
)
3
,
pp. 1143-1160
Persistent link: https://www.econbiz.de/10014291781
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10
A dark side to options trading? : evidence from corporate default risk
Yang, Haoyi
;
Luo, Shikong
- In:
Review of quantitative finance and accounting
60
(
2023
)
2
,
pp. 531-564
Persistent link: https://www.econbiz.de/10013549094
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11
Analytical pricing formulae for vulnerable vanilla and barrier options
Liu, Liang-Chih
;
Chiu, Chun-Yuan
;
Wang, Chuan-Ju
;
Dai, …
- In:
Review of quantitative finance and accounting
58
(
2022
)
1
,
pp. 137-170
Persistent link: https://www.econbiz.de/10012796126
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12
Firm-specific risk-neutral distributions with options and CDS
Aramonte, Sirio
;
Jahan-Parvar, Mohammad R.
;
Rosen, Samuel
; …
- In:
Management science : journal of the Institute for …
68
(
2022
)
9
,
pp. 7018-7033
Persistent link: https://www.econbiz.de/10013373168
Saved in:
13
Time-varying skew in vix derivatives pricing
Yuan, Peixuan
- In:
Management science : journal of the Institute for …
68
(
2022
)
10
,
pp. 7761-7791
Persistent link: https://www.econbiz.de/10013546174
Saved in:
14
The optimality of call provision terms
Powers, Eric
- In:
Management science : journal of the Institute for …
67
(
2021
)
10
,
pp. 6581-6601
Persistent link: https://www.econbiz.de/10012666730
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15
Information content of aggregate implied volatility spread
Han, Bing
;
Li, Gang
- In:
Management science : journal of the Institute for …
67
(
2021
)
2
,
pp. 1249-1269
Persistent link: https://www.econbiz.de/10012505469
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16
Index option trading activity and market returns
Chordia, Tarun
;
Kurov, Alexander
;
Muravyev, Dmitriy
; …
- In:
Management science : journal of the Institute for …
67
(
2021
)
3
,
pp. 1758-1778
Persistent link: https://www.econbiz.de/10012506034
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17
The nonlinear relation between financing decisions and option compensation
Choi, Yoon K.
;
Han, Seung Hun
;
Mun, Seongjae
- In:
Review of quantitative finance and accounting
56
(
2021
)
4
,
pp. 1343-1356
Persistent link: https://www.econbiz.de/10012549797
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18
Zeros
Bandi, Federico M.
;
Kolokolov, Aleksey
;
Pirino, Davide
; …
- In:
Management science : journal of the Institute for …
66
(
2020
)
8
,
pp. 3466-3479
Persistent link: https://www.econbiz.de/10012289150
Saved in:
19
The pricing of jump propagation : evidence from spot and options markets
Du, Du
;
Luo, Dan
- In:
Management science : journal of the Institute for …
65
(
2019
)
5
,
pp. 2360-2387
Persistent link: https://www.econbiz.de/10012039789
Saved in:
20
Volatility uncertainty, time decay, and option bid-ask spreads in an incomplete market
Hsieh, PeiLin
;
Jarrow, Robert A.
- In:
Management science : journal of the Institute for …
65
(
2019
)
4
,
pp. 1833-1854
Persistent link: https://www.econbiz.de/10012022670
Saved in:
21
Informed options trading prior to takeover announcements : insider trading?
Augustin, Patrick
;
Brenner, Menachem
;
Subrahmanyam, Marti G.
- In:
Management science : journal of the Institute for …
65
(
2019
)
12
,
pp. 5697-5720
Persistent link: https://www.econbiz.de/10012146894
Saved in:
22
Relative option liquidity and price efficiency
Du, Brian
- In:
Review of quantitative finance and accounting
52
(
2019
)
4
,
pp. 1119-1135
Persistent link: https://www.econbiz.de/10012172939
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23
Rare disasters, credit, and option market puzzles
Christoffersen, Peter F.
;
Du, Du
;
Elkamhi, Redouane
- In:
Management science : journal of the Institute for …
63
(
2017
)
5
,
pp. 1341-1364
Persistent link: https://www.econbiz.de/10011684726
Saved in:
24
Option pricing for a jump-diffusion model with general discrete jump-size distributions
Fu, Michael
;
Li, Bingqing
;
Li, Guozhen
;
Wu, Rongwen
- In:
Management science : journal of the Institute for …
63
(
2017
)
11
,
pp. 3961-3977
Persistent link: https://www.econbiz.de/10011772831
Saved in:
25
Volatility risks and growth options
Ai, Hengjie
;
Kiku, Dana
- In:
Management science : journal of the Institute for …
62
(
2016
)
3
,
pp. 741-763
Persistent link: https://www.econbiz.de/10011453540
Saved in:
26
Explaining the volatility smile : non-parametric versus parametric option models
Lin, Hsuan-Chu
;
Chen, Ren-Raw
;
Palmon, Oded
- In:
Review of quantitative finance and accounting
46
(
2016
)
4
,
pp. 907-935
Persistent link: https://www.econbiz.de/10011595494
Saved in:
27
Option listing : market quality revisited
Lundstrum, Leonard L.
- In:
Review of quantitative finance and accounting
47
(
2016
)
3
,
pp. 565-578
Persistent link: https://www.econbiz.de/10011595669
Saved in:
28
The dynamic relation between options trading, short selling, and aggregate stock returns
DeLisle, R. Jared
;
Lee, Bong-soo
;
Mauck, Nathan
- In:
Review of quantitative finance and accounting
47
(
2016
)
3
,
pp. 645-671
Persistent link: https://www.econbiz.de/10011595696
Saved in:
29
Some characteristics of an equity security next-year impairment
Azzaz, Julien
;
Loisel, Stéphane
;
Thérond, Pierre-E.
- In:
Review of quantitative finance and accounting
45
(
2015
)
1
,
pp. 111-135
Persistent link: https://www.econbiz.de/10011333134
Saved in:
30
Real options and American derivatives : the double continuation region
Battauz, Anna
;
De Donno, Marzia
;
Sbuelz, Alessandro
- In:
Management science : journal of the Institute for …
61
(
2015
)
5
,
pp. 1094-1107
Persistent link: https://www.econbiz.de/10011284877
Saved in:
31
A comparison of milestone-based and buyout options contracts for coordinating R&D partnerships
Bhattacharya, Shantanu
;
Gaba, Vibha
;
Hasija, Sameer
- In:
Management science : journal of the Institute for …
61
(
2015
)
5
,
pp. 963-978
Persistent link: https://www.econbiz.de/10011284889
Saved in:
32
Growth options, option exercise and firms' systematic risk
Koussis, Nicos
;
Makrominas, Michalis
- In:
Review of quantitative finance and accounting
44
(
2015
)
2
,
pp. 243-267
Persistent link: https://www.econbiz.de/10011327631
Saved in:
33
Volatilities implied by price changes in the S&P 500 options and futures contracts
Hilliard, Jitka
;
Li, Wei
- In:
Review of quantitative finance and accounting
42
(
2014
)
4
,
pp. 599-626
Persistent link: https://www.econbiz.de/10010431376
Saved in:
34
Do dividend initiations signal a reduction in risk? : evidence from the option market
Jones, Jeffrey S.
;
Gu, Jenny
;
Liu, Pu
- In:
Review of quantitative finance and accounting
42
(
2014
)
1
,
pp. 143-158
Persistent link: https://www.econbiz.de/10010345141
Saved in:
35
Differences in trading and pricing between stock and index options
Lemmon, Michael L.
;
Ni, Sophie Xiaoyan
- In:
Management science : journal of the Institute for …
60
(
2014
)
8
,
pp. 1985-2001
Persistent link: https://www.econbiz.de/10010403590
Saved in:
36
Forward-looking market risk premium
Duan, Jin-Chuan
;
Zhang, Weiqi
- In:
Management science : journal of the Institute for …
60
(
2014
)
2
,
pp. 521-538
Persistent link: https://www.econbiz.de/10010258775
Saved in:
37
Investor sentiment and interest rate volatility smile : evidence from Eurodollar options markets
Chen, Cathy Yi-Hsuan
;
Kuo, I.-doun
- In:
Review of quantitative finance and accounting
43
(
2014
)
2
,
pp. 367-391
Persistent link: https://www.econbiz.de/10010490403
Saved in:
38
Comparing the information in short sales and put options
Blau, Benjamin
;
Wade, Chip
- In:
Review of quantitative finance and accounting
41
(
2013
)
3
,
pp. 567-583
Persistent link: https://www.econbiz.de/10010188234
Saved in:
39
Non-parametric method for European option bounds
Lin, Hsuan-chu
;
Chen, Ren-Raw
;
Palmon, Oded
- In:
Review of quantitative finance and accounting
38
(
2012
)
1
,
pp. 109-129
Persistent link: https://www.econbiz.de/10009507969
Saved in:
40
Interest tax shields : a barrier options approach
Couch, Robert B.
;
Dothan, Michael U.
;
Wu, Wei
- In:
Review of quantitative finance and accounting
39
(
2012
)
1
,
pp. 123-146
Persistent link: https://www.econbiz.de/10009629103
Saved in:
41
Pricing and hedging volatility smile under multifactor interest rate models
Kuo, I.-doun
- In:
Review of quantitative finance and accounting
36
(
2011
)
1
,
pp. 83-104
Persistent link: https://www.econbiz.de/10009271374
Saved in:
42
Option pricing under a mixed-exponential jump diffusion model
Cai, Ning
;
Kou, Steven
- In:
Management science : journal of the Institute for …
57
(
2011
)
11
,
pp. 2067-2081
Persistent link: https://www.econbiz.de/10009406274
Saved in:
43
A jump diffusion model for VIX volatility options and futures
Psychoyios, Dimitris
;
Dotsis, George
;
Markellos, Raphaēl N.
- In:
Review of quantitative finance and accounting
35
(
2010
)
3
,
pp. 245-269
Persistent link: https://www.econbiz.de/10009260276
Saved in:
44
Value creation with Dye's disclosure option : optimal risk-shielding with an upper tailed disclosure strategy
Ostaszewski, Adam J.
;
Gietzmann, Miles B.
- In:
Review of quantitative finance and accounting
31
(
2008
)
1
,
pp. 1-27
Persistent link: https://www.econbiz.de/10003711402
Saved in:
45
Density estimation through quasi-analytic Monte-Carlo simulation : options arbitrage with transactions costs
Chidambaran, Nemmara
- In:
Review of quantitative finance and accounting
28
(
2007
)
1
,
pp. 101-122
Persistent link: https://www.econbiz.de/10003410833
Saved in:
46
The dynamics in the spot, futures, and call options with basis asymmetries : an intraday analysis in a generalized multivariate GARCH-M MSKST framework
Wang, Kai-li
;
Chen, Mei-ling
- In:
Review of quantitative finance and accounting
29
(
2007
)
4
,
pp. 371-394
Persistent link: https://www.econbiz.de/10003600297
Saved in:
47
An adjusted binomial model for pricing Asian options
Costabile, Massimo
;
Massabó, Ivar
;
Russo, Emilio
- In:
Review of quantitative finance and accounting
27
(
2006
)
3
,
pp. 285-296
Persistent link: https://www.econbiz.de/10003374247
Saved in:
48
The informational role of option trading volume in equity index options markets
Sarwar, Ghulam
- In:
Review of quantitative finance and accounting
24
(
2005
)
2
,
pp. 159-176
Persistent link: https://www.econbiz.de/10002851822
Saved in:
49
Option trading and the intervalling effect bias in beta
Ho, Li-chin Jennifer
;
Tsay, Jeffrey J.
- In:
Review of quantitative finance and accounting
17
(
2001
)
3
,
pp. 267-282
Persistent link: https://www.econbiz.de/10001748159
Saved in:
50
Risk value analysis of covered short call and protective put portfolio strategies
Adam, Michael
;
Maurer, Raimond
- In:
Finanzmarkt und Portfolio-Management
13
(
1999
)
4
,
pp. 431-449
Persistent link: https://www.econbiz.de/10001517964
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