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Options resilience during extreme volatility : evidence from the market events of May 2010

Cakici, Nusret; Goswami, Gautam; Tan, Sinan - In: Journal of banking & finance 49 (2014), pp. 262-274

Persistent link: https://www.econbiz.de/10010508034

Equity options during the shorting ban of 2008

Cakici, Nusret; Goswami, Gautam; Tan, Sinan - In: Journal of risk and financial management : JRFM 11 (2018) 2, pp. 1-31

The Securities and Exchange Commission’s 2008 emergency order introduced a shorting ban of some 800 financials traded in the US. This paper provides an empirical analysis of the options market around the ban period. Using transaction level data from OPRA (The Options Price Reporting...

Persistent link: https://www.econbiz.de/10011855252

Probabilistic interpretation of Black implied volatility

Carr, Peter; Wu, Liuren; Zhang, Yuzhao - In: Options - 45 years since the publication of the …, (pp. 29-46). 2023

Persistent link: https://www.econbiz.de/10014366585

Static hedging of standard options

Carr, Peter; Wu, Liuren - In: Journal of financial econometrics : official journal of … 12 (2014) 1, pp. 3-46

Persistent link: https://www.econbiz.de/10010233614

Aggregating information in option transactions

Holowczak, Richard; Hu, Jianfeng; Wu, Liuren - In: The journal of derivatives : the official publication … 21 (2014) 3, pp. 9-23

Persistent link: https://www.econbiz.de/10010387689

A simple robust link between American puts and credit protection

Carr, Peter; Wu, Liuren - In: The review of financial studies 24 (2011) 2, pp. 473-505

Persistent link: https://www.econbiz.de/10008934157

A tale of two indices

Carr, Peter; Wu, Liuren - In: The journal of derivatives : the official publication … 13 (2006) 3, pp. 13-29

Persistent link: https://www.econbiz.de/10003321077

Crash-o-phobia : a domestic fear or a worldwide concern?

Foresi, Silverio; Wu, Liuren - In: The journal of derivatives : the official publication … 13 (2005) 2, pp. 8-21

Persistent link: https://www.econbiz.de/10003299538

Price discovery in the US stock and stock options markets : a portfolio approach

Holowczak, Richard; Simaan, Yusif E.; Wu, Liuren - In: Review of derivatives research 9 (2006) 1, pp. 37-65

Persistent link: https://www.econbiz.de/10003441188

Variance risk premiums

Carr, Peter; Wu, Liuren - In: The review of financial studies 22 (2009) 3, pp. 1311-1341

Persistent link: https://www.econbiz.de/10003827753