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Hedging of American equity options : do call and put prices always move in the direction as predicted by the movement in the underlying stock price?

Nordén, Lars - In: Journal of multinational financial management 11 (2001) 4/5, pp. 321-340

Persistent link: https://www.econbiz.de/10001612556

Asymmetric option price distribution and bid-ask quotes : consequences for implied volatility smiles

Nordén, Lars - In: Journal of multinational financial management 13 (2003) 4/5, pp. 423-441

Persistent link: https://www.econbiz.de/10001782073

Option happiness and liquidity : is the dynamics of the volatility smirk affected by relative option liquidity?

Nordén, Lars; Xu, Caihong - In: The journal of futures markets 32 (2012) 1, pp. 47-74

Persistent link: https://www.econbiz.de/10010218059

Information flows and option bid/ask spreads

Berchtold, Frederik; Nordén, Lars - In: The journal of futures markets 25 (2005) 12, pp. 1147-1172

Persistent link: https://www.econbiz.de/10003244359

Call Auction Volatility Extensions

Félez-Viñas, Ester - 2017

Volatility extensions in closing auctions are designed to improve the efficiency of the closing price. We hypothesize that the channel for the efficiency increase is that extensions improve market integrity and investor trust in the auction mechanism. We confirm that the introduction of a...

Persistent link: https://www.econbiz.de/10012944462