Similar Search Results - EconBiz

Expected option returns

Coval, Joshua; Shumway, Tyler - In: The journal of finance : the journal of the American … 56 (2001) 3, pp. 983-1009

Persistent link: https://www.econbiz.de/10001593017

Insiderhandel und Optionspreisspannen

Behr, Matina L. - 2000 - 1. Aufl.

Persistent link: https://www.econbiz.de/10001516335

Marchés dérivés et trading de volatilité

Capelle-Blancard, Gunther - In: Revue économique : revue bimestrielle 54 (2003) 3, pp. 663-673

Persistent link: https://www.econbiz.de/10001765922

Tick Size, Microstructure Noise and Volatility Inversion Effects on Price Discovery in Option Markets : Theory and Empirical Evidence

Czerwonko, Michal - 2012

We document both theoretically and empirically a major dependence in both the Information Shares (IS) and Component Shares (CS) approaches to the estimation of the price discovery metrics on the errors arising out of the inversion method of the option value to find the implied stock price. We...

Persistent link: https://www.econbiz.de/10013114231

Tick Size, Microstructure Noise and Volatility Inversion Effects on Price Discovery in Option Markets : Theory and Empirical Evidence

Czerwonko, Michal - 2011

We document both theoretically and empirically a major dependence in both the Information Shares (IS) and Component Shares (CS) approaches to the estimation of the price discovery metrics on the errors arising out of the inversion method of the option value to find the implied stock price. We...

Persistent link: https://www.econbiz.de/10013121295

Hedging costs, liquidity, and inventory management : the evidence from option market makers

Wu, Wei-shao; Liu, Yu-jane; Lee, Yi-tsung; Fok, Robert C. W. - In: Journal of financial markets 18 (2014), pp. 25-48

Persistent link: https://www.econbiz.de/10010442502

Options market makers' hedging and informed trading : theory and evidence

Huh, Sahn-Wook; Lin, Hao; Mello, António S. - In: Journal of financial markets 23 (2015), pp. 26-58

Persistent link: https://www.econbiz.de/10011377487

Bid-ask spread and liquidity searching behaviour of informed investors in option markets

Bernales, Alejandro; Cañón, Carlos Iván; Verousis, Thanos - In: Finance research letters 25 (2018), pp. 96-102

Persistent link: https://www.econbiz.de/10012003477

Directional trading across stock limit order book and options markets

Wang, Qin - In: The journal of derivatives : the official publication … 24 (2016) 2, pp. 88-97

Persistent link: https://www.econbiz.de/10011687337

Financial markets performance : theory and empirical evidence

Marquardt, Dirk Steffen - 1998

Persistent link: https://www.econbiz.de/10000671527

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