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ELW pricing kernel and empirical risk aversion

Kim, Jun Sik; Kim, Hyeyoen; Ryu, Doojin - In: Applied economics letters 21 (2014) 4/6, pp. 372-376

Persistent link: https://www.econbiz.de/10010413719

Intraday option price changes and net buying pressure

Ryu, Doojin; Yang, Heejin - In: Applied economics letters 29 (2022) 4, pp. 292-297

Persistent link: https://www.econbiz.de/10012803523

The Price of Political Uncertainty : Theory and Evidence from the Option Market

Kelly, Bryan T. - 2014

We empirically analyze the pricing of political uncertainty, guided by a theoretical model of government policy choice. To isolate political uncertainty, we exploit its variation around national elections and global summits. We find that political uncertainty is priced in the equity option...

Persistent link: https://www.econbiz.de/10013060687

Irreversible investment, ambiguity and equity default swaps

Tang, Xiaolin; Yang, Zhaojun - In: Applied economics letters 25 (2018) 18, pp. 1301-1305

Persistent link: https://www.econbiz.de/10012135390

Default probability anomalies in the momentum startegies

Lee, Nicholas Rueilin; Liu, Jung-Fang; Lin, Wei-Yu - In: Applied economics letters 21 (2014) 16/18, pp. 1206-1209

Persistent link: https://www.econbiz.de/10010465679

A generalized algorithm for duration and convexity of option embedded bonds

Homaifar, Ghassem; Michello, Frank A. - In: Applied economics letters 26 (2019) 10, pp. 835-842

Persistent link: https://www.econbiz.de/10012204397

Vega-informed trading and options market reform

Ryu, Doojin; Ryu, Doowon; Yang, Heejin - In: Applied economics letters 27 (2020) 1, pp. 19-24

Persistent link: https://www.econbiz.de/10012205363

Evaluating real estate development project with Monte Carlo based binomial options pricing model

Yeh, I.-Cheng; Lien, Che-Hui - In: Applied economics letters 27 (2020) 4, pp. 307-324

Persistent link: https://www.econbiz.de/10012205448

Intraday hedging with financial options : the case of electricity

Boroumand, Raphaël Homayoun; Goutte, Stéphane - In: Applied economics letters 24 (2017) 20, pp. 1448-1454

Persistent link: https://www.econbiz.de/10011853065

Option moneyness and price disagreements

Yang, Heejin; Kutan, Ali Mustafa; Ryu, Doojin - In: Applied economics letters 25 (2018) 3, pp. 192-196

Persistent link: https://www.econbiz.de/10011853836

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