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Exchange rate risk management using currency derivatives : the case of exposures to Japanese Yen

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Derivatives trading, volatility spillover, and regulation : evidence from the Korean securities markets

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Managing asymmetric foreign exchange exposure with financial derivatives : evidence from Korean firms

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Option valuation : an extension of the binomial model

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A stochastic dominance analysis of trading losses from using sample estimates of the variance in the Black-Scholes model

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Trading Breaks and Asymmetric Information : The Option Markets

Kaplanski, Guy - 2018

We find that weekend, holiday and overnight trading breaks generate excessive perceived risk in the option markets, presumably due to asymmetric information, which, in turn, encourages uninformed option traders to postpone trading. This perceived risk subsides after two days accompanied by an...

Persistent link: https://www.econbiz.de/10012940238