Similar Search Results

Psychological Barriers and Option Pricing

Jang, Bong-Gyu - 2013

examines their impact on this index's rate of return and volatility. It focuses on deriving analytic European option prices …

Persistent link: https://www.econbiz.de/10013090582

Expected VIX Option Returns

Song, Zhaogang - 2016

We dissect the fine structure of volatility risks, as an important component of time-varying investment opportunities … channels in modeling volatility risks: stochastic volatility-of-volatility and volatility jumps. We find that zero …-delta straddles and delta-hedged portfolios of VIX options, which are neutral to changes in VIX but sensitive to volatility-of-volatility …

Persistent link: https://www.econbiz.de/10013007860

Option pricing with threshold mean reversion

Chi, Zeyu; Dong, Fangyuan; Wong, Hoi Ying - In: The journal of futures markets 37 (2017) 2, pp. 107-131

Persistent link: https://www.econbiz.de/10011669768

Differences in options investors' expectations and the cross-section of stock returns

Andreou, Panayiotis C.; Kagkadis, Anastasios; Philip, Dennis - In: Journal of banking & finance 94 (2018), pp. 315-336

Persistent link: https://www.econbiz.de/10011966661

Option prices and stock market momentum : evidence from China

Li, Jianping; Yao, Yanzhen; Chen, Yibing; Lee, Cheng F. - In: Quantitative finance 18 (2018) 9, pp. 1517-1529

Persistent link: https://www.econbiz.de/10011913187

Volatility information difference between CDS, options, and the cross section of options returns

Guo, Biao; Shi, Yukun; Xu, Yaofei - In: Quantitative finance 20 (2020) 12, pp. 2025-2036

Persistent link: https://www.econbiz.de/10012313548

Jump and volatility risk in the cross-section of corporate bond returns

Chen, Xi; Wang, Junbo; Wu, Chunchi - In: Journal of financial markets 60 (2022), pp. 1-29

Persistent link: https://www.econbiz.de/10013397876

The impact of the leverage effect on the implied volatility smile : evidence for the German option market

Rathgeber, A. W.; Stadler, Johannes; Stöckl, S. - In: Review of derivatives research 24 (2021) 2, pp. 95-133

Persistent link: https://www.econbiz.de/10012549093

Spatial tale of G-7 and BRICS stock markets during COVID-19 : an event study

Ledwani, Sanket; Chakraborty, Suman; Shenoy, Sandeep S. - In: Investment management and financial innovations 18 (2021) 2, pp. 20-36

Persistent link: https://www.econbiz.de/10012698109

Revisiting the effect of crude oil price movements on US stock market returns and volatility

Sonenshine, Ralph; Cauvel, Michael - In: Modern economy 8 (2017) 5, pp. 753-769

Persistent link: https://www.econbiz.de/10011695425

1
2
3
4
5
6
7
8
9
10
Next
Last