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Non-diversifiable volatility risk and risk premiums at earnings announcements

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Accounting for earnings announcements in the pricing of equity options

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Impact of macroeconomic announcements on implied volatility slope of SPX options and VIX

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Ambiguity in option markets : evidence from SEOs

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Earnings announcements and option returns

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Too good to be true? : an analysis of the options market's reactions to earnings releases

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Jumps in option prices and their determinants : real-time evidence from the E-mini S&P 500 options market

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The options market reaction to bank loan announcements

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Information flow and credit rating announcements

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Accounting for Earnings Announcements in the Pricing of Equity Options

Leung, Tim - 2015

We study an option pricing framework that accounts for the price impact of an earnings announcement (EA), and analyze the behavior of the implied volatility surface prior to the event. On each known announcement date, we introduce a random jump to the stock price. Applying this idea to extend...

Persistent link: https://www.econbiz.de/10013033272