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The Impact of Liquidity on Option Prices

Chou, Robin K. - 2019

This article illustrates the impact of both spot and option liquidity levels on option prices. Using implied volatility to measure the option price structure, our empirical results reveal that even after controlling for the systematic risk of Duan and Wei (2009), a clear link remains between...

Persistent link: https://www.econbiz.de/10012906109

The information content of the S&P 500 index and VIX options on the dynamics of the S&P 500 index

Chung, San-lin; Tsai, Wei-che; Wang, Yaw-huei; Weng, … - In: The journal of futures markets 31 (2011) 12, pp. 1170-1201

Persistent link: https://www.econbiz.de/10009355722

Volatility information in the trading activity of stocks, options, and volatility options

Wang, Yaw-huei - In: The journal of futures markets 33 (2013) 8, pp. 752-773

Persistent link: https://www.econbiz.de/10009779086

The impact of jump dynamics on the predictive power of option-implied densities

Wang, Yaw-huei - In: The journal of derivatives : the official publication … 16 (2008/09) 3, pp. 9-22

Persistent link: https://www.econbiz.de/10003852617

FX risk-neutral valuation relationships for the S u jump-diffusion family

Câmara, Ana; Câmara, António; Popova, Ivilina; … - In: International journal of finance & economics : IJFE 16 (2011) 4, pp. 339-356

Persistent link: https://www.econbiz.de/10009508891

Options on troubled stock

Câmara, António; Popova, Ivilina; Simkins, Betty J. - In: The journal of futures markets 34 (2014) 7, pp. 637-657

Persistent link: https://www.econbiz.de/10010507943

Two counters of jumps

Câmara, António - In: Journal of banking & finance 33 (2009) 3, pp. 456-463

Persistent link: https://www.econbiz.de/10003807620

Closed-form option pricing formulas with extreme events

Câmara, António; Heston, Steven L. - In: The journal of futures markets 28 (2008) 3, pp. 213-230

Persistent link: https://www.econbiz.de/10003699314

The Impact of Non-trading Periods on the Measurement of Volatility

Wang, Yaw-Huei; Hsiao, Yu-Jen - In: Review of Pacific Basin Financial Markets and Policies … 13 (2010) 04, pp. 607-620

Based upon the theory of the "arrival of news", the main purpose of this paper is to investigate the impact of non-trading periods on the measurement of volatility for the S&P 500, FTSE 100, and TAIEX indices. Using an adaptation of the GJR (1,1) model, we find that both weekday holiday periods...

Persistent link: https://www.econbiz.de/10008773562

Another look at the relationship between cross-market correlation and volatility

Bartram, Söhnke M.; Wang, Yaw-Huei - In: Finance research letters 2 (2005) 2, pp. 75-88

Persistent link: https://www.econbiz.de/10002883183