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By investigating currency futures options, this paper provides an alternative economic implication for the result reported by Stein [Overreactions in the options market, Journal of Finance 44 (1989) 1011–1023] that long-maturity options tend to overreact to changes in the implied volatility of...
Persistent link: https://www.econbiz.de/10010589534
This paper develops a volatility formula for option on an asset from an acceleration Lagrangian model and the formula …
Persistent link: https://www.econbiz.de/10010709980