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The delta- and vega-related information content of near-the-money option market trading activity
Rourke, Thomas - In: Journal of financial markets 20 (2014), pp. 175-193
Persistent link: https://www.econbiz.de/10010442379
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Learning to smile : can rational learning explain predictable dynamics in the implied volatility surface?
Bernales, Alejandro; Guidolin, Massimo - In: Journal of financial markets 26 (2015), pp. 1-37
Persistent link: https://www.econbiz.de/10011477269
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Volatility-of-volatility and tail risk hedging returns
Park, Yang-Ho - In: Journal of financial markets 26 (2015), pp. 38-63
Persistent link: https://www.econbiz.de/10011477272
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Delta and vega exposure trading in stock and option markets
Maraachlian, Hilda; Rourke, Thomas - In: Journal of financial markets 18 (2014), pp. 96-125
Persistent link: https://www.econbiz.de/10010442472
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Option pricing with stochastic liquidity risk : theory and evidence
Feng, Shih-ping; Hung, Mao-Wei; Wang, Yaw-huei - In: Journal of financial markets 18 (2014), pp. 77-95
Persistent link: https://www.econbiz.de/10010442476
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The value of the wildcard option in cash-settled American index options
Lasser, Dennis J.; Spizman, Joshua D. - In: Journal of financial markets 28 (2016), pp. 116-131
Persistent link: https://www.econbiz.de/10011722239
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A new measure of the direction and timing of information flow between markets
Finucane, Thomas J. - In: Journal of financial markets 2 (1999) 2, pp. 135-151
Persistent link: https://www.econbiz.de/10001426681
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Liquidity effect in OTC options markets : premium or discount?
Deuskar, Prachi; Gupta, Anurag; Subrahmanyam, Marti G. - In: Journal of financial markets 14 (2011) 1, pp. 127-160
Persistent link: https://www.econbiz.de/10009267085
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Investing in Chapter 11 stocks : trading, value, and performance
Li, Yuanzhi; Zhong, Zhaodong - In: Journal of financial markets 16 (2013) 1, pp. 33-60
Persistent link: https://www.econbiz.de/10009711279
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Stock option contract adjustments : the case of special dividends
Barraclough, Kathryn; Stoll, Hans R.; Whaley, Robert E. - In: Journal of financial markets 15 (2012) 2, pp. 233-257
Persistent link: https://www.econbiz.de/10009614491