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Option-implied risk aversion anomalies : evidence from Japanese market

Takkabutr, Nattapol - In: Hitotsubashi journal of economics 54 (2013) 2, pp. 137-157

Persistent link: https://www.econbiz.de/10010343655

Credit spreads and bankruptcy information from options data

Tzeng, Chi-Feng - In: Annals of financial economics 9 (2014) 2, pp. 1-22

Persistent link: https://www.econbiz.de/10010489092

A homotopy analysis method for the option pricing PDE in post-crash markets

El-Khatib, Youssef - In: Mathematical economics letters 2 (2014) 3/4, pp. 45-50

Persistent link: https://www.econbiz.de/10010496354

The price of the smile and variance risk premia

Gruber, Peter H.; Tebaldi, Claudio; Trojani, Fabio - 2015 - This version: September 8, 2015

In a tractable stochastic volatility model, we identify the price of the smile as the price of the unspanned risks traded in SPX option markets. The price of the smile reflects two persistent volatility and skewness risks, which imply a downward sloping term structure of low-frequency variance...

Persistent link: https://www.econbiz.de/10011412294

A quantitative mirror on the Euribor market using implied probability density functions

Puigvert-Gutiérrez, Josep Maria; De Vincent-Humphreys, … - In: Eurasian economic review : a journal of the Eurasia … 2 (2012) 1, pp. 1-31

Persistent link: https://www.econbiz.de/10010340001

The price of the smile and variance risk premia

Gruber, Peter H.; Tebaldi, Claudio; Trojani, Fabio - In: Management science : journal of the Institute for … 67 (2021) 7, pp. 4056-4074

Persistent link: https://www.econbiz.de/10012623900

Assessing the resilience of Islamic stocks in BRIC countries : analyzing coherence and cointegration with S&P 500 options implied volatility smirk during the global financial crisis

Hoque, Ariful; Bhuiyan, Tanvir; Le, Thi - In: International Journal of Financial Studies : open … 12 (2024) 3, pp. 1-33

Challenging the perceived immunity of Islamic stocks to the global financial crisis, this research investigates whether there was any coherence and long-run cointegration between Islamic stocks of BRIC countries and S&P 500 options implied volatility smirk (IVS) in BRIC countries during the...

Persistent link: https://www.econbiz.de/10015100966

Effects of the Covid-19 pandemic on derivatives markets : evidence from global futures and options exchanges

Emm, Ekaterina E.; Gay, Gerald; Ma, Han; Ren, Honglin - In: The journal of futures markets 42 (2022) 5, pp. 823-851

Persistent link: https://www.econbiz.de/10013187605

Post-'87 crash fears in the S&P 500 futures option market

Bates, David S. - In: Journal of econometrics 94 (2000) 1/2, pp. 181-238

Persistent link: https://www.econbiz.de/10001437755

Impact of stock price jumps on option values

Trautmann, Siegfried; Beinert, Michaela - In: Empirical research on the German capital market : with …, (pp. 303-322). 1999

Persistent link: https://www.econbiz.de/10001427695