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Year of publication
Subject
All
Optionsgeschäft 6,673 Option trading 6,670 Optionspreistheorie 4,199 Option pricing theory 4,189 Volatilität 1,930 Volatility 1,926 Derivat 1,501 Derivative 1,501 Theorie 1,221 Theory 1,215 Stochastischer Prozess 933 Stochastic process 932 Black-Scholes-Modell 733 Black-Scholes model 729 Hedging 693 Börsenkurs 635 Share price 635 Portfolio selection 580 Portfolio-Management 580 USA 461 United States 456 Capital income 450 Kapitaleinkommen 450 Index-Futures 417 Index futures 416 Anlageverhalten 366 Behavioural finance 366 Risk 339 Risiko 338 Risikoprämie 330 Risk premium 330 Estimation 324 Schätzung 322 Forecasting model 312 Prognoseverfahren 312 CAPM 281 Monte-Carlo-Simulation 235 Monte Carlo simulation 233 Aktienoption 218 Risikomanagement 213
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Online availability
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Free 2,207 Undetermined 1,840 CC license 119
Type of publication
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Article 3,961 Book / Working Paper 2,814 Journal 2
Subcategories
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Article in journal 3,703 Working paper 635 Book section 194 Textbook 65 Glossary included 38 Guidebook 25 Handbook 23 Proceedings 20 Government document 9 Introduction 4 Review 2 Biography 1 Literature review 1 Statistics 1
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Language
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English 6,455 German 216 Undetermined 53 Spanish 16 French 13 Polish 9 Italian 5 Dutch 5 Portuguese 4 Hungarian 2 Arabic 1 Czech 1 Swedish 1
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Author
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Cui, Zhenyu 38 Ryu, Doojin 35 Madan, Dilip B. 32 Hull, John 30 Wang, Xingchun 30 Carr, Peter 29 Zhang, Jin E. 28 Perrakis, Stylianos 26 Lee, Hangsuck 25 Fusai, Gianluca 24 Stentoft, Lars 24 Wystup, Uwe 23 Fodor, Andy 22 Kelly, Bryan T. 22 Fabozzi, Frank J. 21 Joshi, Mark S. 20 Kwok, Yue-Kuen 20 Schoutens, Wim 20 Todorov, Viktor 20 Chiarella, Carl 19 Poteshman, Allen M. 19 Thomsett, Michael C. 19 Ewald, Christian-Oliver 18 He, Xin-Jiang 18 Andersen, Torben 17 Jacobs, Kris 17 Kōnstantinidēs, Giōrgos 17 Ruan, Xinfeng 17 Wu, Liuren 17 Zhu, Song-Ping 17 Bernales, Alejandro 16 Fusari, Nicola 16 Härdle, Wolfgang 16 Jackwerth, Jens Carsten 16 Li, Lingfei 16 Pedersen, Lasse Heje 16 Bebchuk, Lucian A. 15 Chang, Chuang-chang 15 Takahashi, Akihiko 15 Czerwonko, Michal 14
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Institution
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National Bureau of Economic Research 43 Centre for Analytical Finance <Århus> 10 Center for Economic Research <Tilburg> 7 Christian-Albrechts-Universität zu Kiel 4 Frankfurt School of Finance and Management 4 Institut for Finansiering <Frederiksberg> 4 World Scientific (Firm) 4 Chambre de commerce et d'industrie de Paris 3 Rodney L. White Center for Financial Research 3 Walter de Gruyter Inc. 3 European Parliament / Directorate-General for Internal Policies of the Union 2 Fachverlag für Wirtschafts- und Steuerrecht Schäffer <Stuttgart> 2 Financial Options Research Centre 2 Hebrew University FinTech Center / International Conference <2019, Jerusalem> 2 International Centre for Trade and Sustainable Development 2 Judge Institute of Management Studies 2 Karlsruher Institut für Technologie 2 New York Institute of Finance 2 Society for Computational Economics - SCE 2 Svenska Handelshögskolan <Helsinki> 2 University of Stellenbosch. Faculty of Science. Dept. of Mathematical Sciences. 2 Weltwirtschaftsforum 2 Australian National University / Faculty of Economics and Commerce 1 Banco Central do Brasil 1 Bank für Internationalen Zahlungsausgleich 1 Berliner Wissenschafts-Verlag 1 Birkbeck College / Department of Economics 1 Business Information Centre <Toronto> 1 Börsen-Buchverlag 1 Center for International Food and Agricultural Policy 1 Centre for Actuarial Studies 1 Chicago, Ill. / Board of Trade 1 City University 1 Cornell University / Department of Agricultural, Resource and Managerial Economics 1 Deutsche Forschungsgemeinschaft 1 Deutschland / Bundeswehr / Universität Hamburg 1 EOE 1 Eberhard Karls Universität Tübingen 1 Energy, Mines and Resources, Canada 1 Erasmus Research Institute of Management 1
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Published in...
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The journal of futures markets 233 International journal of theoretical and applied finance 147 Journal of banking & finance 118 Quantitative finance 104 The journal of derivatives : the official publication of the International Association of Financial Engineers 98 Applied mathematical finance 87 Finance research letters 86 Review of derivatives research 86 The journal of computational finance 81 Computational economics 67 Finance and stochastics 62 Mathematical finance : an international journal of mathematics, statistics and financial theory 60 The North American journal of economics and finance : a journal of financial economics studies 56 Journal of financial economics 55 Journal of economic dynamics & control 54 International journal of financial engineering 48 Risks : open access journal 45 Journal of financial markets 44 International review of economics & finance : IREF 43 NBER working paper series 43 European journal of operational research : EJOR 42 Journal of mathematical finance 41 Journal of financial and quantitative analysis : JFQA 37 Review of quantitative finance and accounting 37 The journal of derivatives : JOD 37 Management science : journal of the Institute for Operations Research and the Management Sciences 36 International review of financial analysis 34 Research paper series / Swiss Finance Institute 34 The European journal of finance 32 The journal of finance : the journal of the American Finance Association 32 NBER Working Paper 31 Working paper / National Bureau of Economic Research, Inc. 31 The review of financial studies 30 Applied economics 28 Insurance 27 Applied economics letters 26 Economic modelling 26 Asia-Pacific financial markets 25 Energy economics 25 Journal of risk and financial management : JRFM 24
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Source
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ECONIS (ZBW) 6,678 RePEc 44 Other ZBW resources 22 USB Cologne (EcoSocSci) 19 EconStor 7 USB Cologne (business full texts) 4 BASE 3
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Showing 1 - 50 of 6,051
 
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In search of seasonality in intraday and overnight option returns
Bali, Turan G.; Goyal, Amit; Mörke, Mathis; Weigert, … - 2026
We uncover momentum and reversal patterns in half-day option returns that persist for up to at least 20 business days, with economic magnitudes of 0.22% to 0.45% per half-day. Specifically, returns show strong momentum within the same period (e.g., intraday-to-intraday) but reverse sharply...
Persistent link: https://ebvufind01.dmz1.zbw.eu/10015591093
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Information-neutral hedging of derivatives under market impact and manipulation risk
Alimoradian, Behzad; Barigou, Karim; Eyraud, Anne - 2026
The literature on derivative pricing in illiquid markets has mostly focused on computing optimal hedging controls, but empirical microstructure studies show that large order flow generates persistent and predictable price effects. Therefore, these controls can themselves induce endogenous market...
Persistent link: https://ebvufind01.dmz1.zbw.eu/10015591116
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Study on the validity of volatility trading
Castillo, Alberto; Mcwilliams, Jose Manuel Mira - 2026
This study examines the role of volatility mean reversion in option pricing and evaluates the performance of commonly used volatility estimators within a broad market context. Using a comprehensive dataset of end-of-day option chains for the 100 most actively traded U.S. equities from 2018 to...
Persistent link: https://ebvufind01.dmz1.zbw.eu/10015628389
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Hidden optionalities in American options
El Hassan, Noura; Maddah, Bacel; Taleb, Nassim Nicholas - 2026
We develop a practical framework for identifying and quantifying the hidden layers of risks and optionality embedded in American options by introducing stochasticity into one or more of their underlying determinants. The heuristic approach remedies the problems of conventional pricing systems,...
Persistent link: https://ebvufind01.dmz1.zbw.eu/10015640263
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Characteristic function-based factor modeling of affine jump-diffusions using options
Boswijk, Herman Peter; Laeven, Roger J. A.; Marijnen, Niels - 2026
We develop a framework to analyze option markets using factor modeling techniques, offering a novel method to study how many and which risk factors drive the price process of a single asset. We exploit information contained in option prices to construct observations on the characteristic...
Persistent link: https://ebvufind01.dmz1.zbw.eu/10015656743
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Forward-modeling approaches to American option valuation : additive and multiplicative HJM representations
Fernando, Kushantha; Manathunga, Vajira - 2026
This paper introduces an HJM-style forward modeling framework for valuing American options. Instead of modeling the dynamics of the underlying asset, we model the maturity-indexed forward drift of the gain process, leading to two no-arbitrage representations of the option value. The first is an...
Persistent link: https://ebvufind01.dmz1.zbw.eu/10015676648
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Return determinants of option strategies : evidence from protective put and covered call
Woradee Jongadsayakul - 2026
This study compares the performance of protective put and covered call strategies and analyzes their return determinants. The analysis uses SET50 Index Options contracts with trading volume, covering maturities from January 2021 to December 2025. The empirical model investigates three groups of...
Persistent link: https://ebvufind01.dmz1.zbw.eu/10015676654
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Implementing neural SDEs for data-driven dynamics of the Bitcoin option surface
Shah, Arjun; Schlögl, Erik - 2026
This paper presents a full implementation of data-driven modelling of the dynamics of the options on Bitcoin, using high-frequency data from the Deribit exchange. To this end, we provide a synthesis of methods established in prior papers, namely, the works involving "neural SDE market models,"...
Persistent link: https://ebvufind01.dmz1.zbw.eu/10016059322
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Vulnerable European and American options in a hazard-process model
Li, Libo; Liu, Ruyi; Rutkowski, Marek - 2026
Persistent link: https://ebvufind01.dmz1.zbw.eu/10016081510
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Analytical valuation of a general form of barrier option with stochastic interest rate and jumps
Guillaume, Tristan - 2025
Persistent link: https://ebvufind01.dmz1.zbw.eu/10015440659
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A Bayesian stochastic discount factor for the cross-section of individual equity options
Käfer, Niclas; Mörke, Mathis; Weigert, Florian; … - 2025 - This version: April 23, 2024
We utilize Bayesian model averaging to estimate a stochastic discount factor (SDF) for single-stock options. A Bayesian model averaging SDF outperforms reduced-form benchmark models in-sample and out-of-sample in pricing option return anomalies and portfolios. We document that the SDF is dense...
Persistent link: https://ebvufind01.dmz1.zbw.eu/10015204018
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A Theory of Subsidy Harvesting in Livestock Price Insurance
Adjemian, Michael K.; Ramsey, A. Ford - 2026
USDA designed the Livestock Risk Protection (LRP) program to help producers insure against declining prices for fed cattle, feeder cattle, and swine. Prices in derivatives markets determine program indemnities, making LRP policies similar to put options. Beginning in 2019, USDA made several...
Persistent link: https://ebvufind01.dmz1.zbw.eu/10015611191
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Cross-sectional variation of risk-targeting option portfolios
Wu, Liuren; Xu, Yaofei - 2026
Persistent link: https://ebvufind01.dmz1.zbw.eu/10015616372
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Valuation of American options using machine learning : beyond Longstaff-Schwartz and hybrid models
Vivas-Redondo, Maria; Coronado-Vaca, María; … - 2025
This work explores the potential of different machine learning (ML) algorithms in the valuation of American options (Aos), contrasting them with the Longstaff-Schwartz (L-S) model. To carry out this research, the algorithms K-Nearest Neighbors (KNN), Random Forest (RF), Multi-Layer Perceptron...
Persistent link: https://ebvufind01.dmz1.zbw.eu/10015549107
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Unraveling COVID-19-induced volatility spillover : a study of the dynamic interplay between NIFTY 50 spot and options markets
Tokas, Nisha; Gahlot, Ruchika; Puri, Neha; Gupta, Himani; … - 2025
This study unravels the transmission of volatility spillovers between NIFTY 50 spot prices and the options market, addressing a significant gap in existing studies. It captures how market connectedness evolved during the pre-COVID, COVID and post-COVID periods, offering fresh insights into price...
Persistent link: https://ebvufind01.dmz1.zbw.eu/10015549125
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Teaching Economics to the Machines
Chen, Hui; Cheng, Yuhan; Liu, Yanchu; Tang, Ke - 2026
Structural economic models, while parsimonious and interpretable, often exhibit poor data fit and limited forecasting performance. Machine learning models, by contrast, offer substantial flexibility but are prone to overfitting and weak out-of-distribution generalization. We propose a...
Persistent link: https://ebvufind01.dmz1.zbw.eu/10015593788
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The mathematical aspects of barrier options
Beyazit, Mehmet Fuat - 2026
"This book explains the types of barrier options that are widely traded in Over-the-Counter (OTC) markets and secondary markets. The main objective of the book is to analyze the basic pricing formulae of the different types of barrier options and to produce comprehensive, detailed and...
Persistent link: https://ebvufind01.dmz1.zbw.eu/10015622707
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The mathematical aspects of barrier options
Beyazit, Mehmet Fuat - 2026
Book / Working Paper
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Valuing catastrophe equity put options with liquidity risk, default risk and jumps
Tang, Chao; Chen, Peimin; Zhang, Shu - 2025
Persistent link: https://ebvufind01.dmz1.zbw.eu/10015372584
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Vulnerable options under a Hawkes jump-diffusion model with two-factor stochastic volatility
Pasricha, Puneet; He, Xin-Jiang - 2026
Persistent link: https://ebvufind01.dmz1.zbw.eu/10015647422
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Multi-step double barrier options under time-varying interest rates
Lee, Hangsuck; Kye, Yisub; Kong, Byungdoo; Song, Seongjoo - 2025
Persistent link: https://ebvufind01.dmz1.zbw.eu/10015372649
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The transmission of monetary policy to the cost of hedging
Fengler, Matthias; Koeniger, Winfried; Minger, Stephan - 2025
Persistent link: https://ebvufind01.dmz1.zbw.eu/10015272995
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The transmission of monetary policy to the cost of hedging
Fengler, Matthias; Koenigera, Winfried; Minger, Stephan - 2025
Book / Working Paper
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The transmission of monetary policy to the cost of hedging
Fengler, Matthias; Koeniger, Winfried; Minger, Stephan - 2024
Book / Working Paper
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The transmission of monetary policy to the cost of hedging
Fengler, Matthias; Koeniger, Winfried; Minger, Stephan - 2024
Book / Working Paper
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Option-implied probabilities and bond valuation
Jha, Ayush; Jaffri, Ali; Račev, Svetlozar T.; Fabozzi, … - 2026
Persistent link: https://ebvufind01.dmz1.zbw.eu/10015650603
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The disciplinary role of options trading : evidence from earnings manipulation
Hao, Mengshu; Hong, Jieying - 2025
Persistent link: https://ebvufind01.dmz1.zbw.eu/10015331595
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Spectrum auctions, protection, or another option?
Baylis, Charles; Sicker, Douglas; Egbert, Austin; … - 2026
Persistent link: https://ebvufind01.dmz1.zbw.eu/10015677361
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The cross-section of individual equity option returns
Shafaati, Mobina; Chance, Don M.; Brooks, Robert - 2026
Persistent link: https://ebvufind01.dmz1.zbw.eu/10016071013
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Optimal design of multi-asset options
Balbás de la Corte, Alejandro; Balbás, Beatriz; … - 2025
The combination of stochastic derivative pricing models and downside risk measures often leads to the paradox (risk, return) = (−infinity, +infinity) in a portfolio choice problem. The construction of a portfolio of derivatives with high expected returns and very negative downside risk...
Persistent link: https://ebvufind01.dmz1.zbw.eu/10015333614
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Volatility Disagreement in the Options Market
Bali, Turan G.; Kelly, Bryan T.; Mörke, Mathis - 2026
We construct a novel stock-level measure of volatility disagreement as the cross-sectional dispersion of realized variance forecasts built from heterogeneous information sets and machine learning models. Sorting single-name delta-hedged straddles on this measure yields a long-short return of...
Persistent link: https://ebvufind01.dmz1.zbw.eu/10016063296
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Pricing options on the maximum or the minimum of several assets with default risk
Zhang, Jiayi; Zhou, Ke - 2025
Persistent link: https://ebvufind01.dmz1.zbw.eu/10015338077
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Power approximation for pricing American options
El Hassan, Noura; Maddah, Bacel - 2026
Persistent link: https://ebvufind01.dmz1.zbw.eu/10015459119
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Modeling financial bubbles with optional semimartingales in nonstandard probability spaces
Abdelghani, Mohamed; Melnikov, Alexander - 2025
Deviation of an asset price from its fundamental value, commonly referred to as a price bubble, is a well-known phenomenon in financial markets. Mathematically, a bubble arises when the deflated price process transitions from a martingale to a strict local martingale. This paper explores price...
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La sinfonía del capital : armonizando inversión y finanzas
Valero Capilla, José Luis - 2026 - 1. edición
Persistent link: https://ebvufind01.dmz1.zbw.eu/10015662954
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Does options trading affect audit pricing?
Ali, Muhammad Jahangir; Balachandran, Balasingham; Huu … - 2025
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Estimating a conditional density ratio model for asset returns and option demand
Dalderop, Jeroen; Linton, Oliver - 2026
Persistent link: https://ebvufind01.dmz1.zbw.eu/10016091513
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A refracted process in options : a credit valuation application
Clare, Andrew D.; Pinheiro, Carlos Manuel; Pozzolo, … - 2025
Persistent link: https://ebvufind01.dmz1.zbw.eu/10015463474
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Modeling and forecasting the CBOE VIX with the TVP-HAR model
Xu, Wen; Aschakulporn, Pakorn; Zhang, Jin E. - 2025
Persistent link: https://ebvufind01.dmz1.zbw.eu/10015464704
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Derivative Finanzinstrumente : anwendungsorientierte Einführung in Optionen, Futures und Swaps
Gallus, Christoph; Schmidt, Martin - 2026 - 5., überarbeitete und aktualisierte Auflage
Persistent link: https://ebvufind01.dmz1.zbw.eu/10015556608
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Semi-analytical pricing of American options with hybrid dividends via integral equations and the GIT method
Itkin, Andrey - 2026
Persistent link: https://ebvufind01.dmz1.zbw.eu/10016093965
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Joint implied willow tree : an approach for joint S&P 500/VIX calibration
Dong, Bing; Xu, Wei; Cui, Zhenyu - 2025
Persistent link: https://ebvufind01.dmz1.zbw.eu/10015464822
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The term structure of credit default swap spreads and the cross section of options returns
Zhang, Hao; Shi, Yukun; Han, Dun; Liu, Pei; Xu, Yaofei - 2025
Persistent link: https://ebvufind01.dmz1.zbw.eu/10015464836
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A convolution-based heterogeneous autoregressive model for implied volatility surface forecasting
Gong, Zihao; Huang, Wenli; Ruan, Xinfeng - 2026
Persistent link: https://ebvufind01.dmz1.zbw.eu/10016093866
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Skewness premium for short-term exposure to squared market returns
Wallmeier, Martin - 2025
Persistent link: https://ebvufind01.dmz1.zbw.eu/10015464878
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Valuation of VIX derivatives : incorporating larger spikes in volatility-of-volatility dynamics
Fan, Zheqi; Ryu, Doojin; Ye, Yifan - 2026
Persistent link: https://ebvufind01.dmz1.zbw.eu/10016093979
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Decomposing informed trading in equity options
Asencio, Felipe; Bernales, Alejandro; Holowczak, Richard; … - 2026
Persistent link: https://ebvufind01.dmz1.zbw.eu/10016091039
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Commodity option return predictability
Aka, Constant; Gagnon, Marie-Hélène; Power, Gabriel J. - 2025
Persistent link: https://ebvufind01.dmz1.zbw.eu/10015464901
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Crude oil options stochastic volatility jump or co-jump : evidence from price paths stimulation
Bouteska, A.; Wang, Xinyi; Zhao, Shikuan - 2026
Persistent link: https://ebvufind01.dmz1.zbw.eu/10016094239
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A new star is born : does the VIX1D render common volatility forecasting models for the US equity market obsolete?
Albers, Stefan - 2025
Persistent link: https://ebvufind01.dmz1.zbw.eu/10015465751
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U.S. options exchange-traded funds : performance dynamics and managerial expertise
Hadad, Elroi; Malhotra, Davinder; McLeod, Robert - 2025
This study examines the performance dynamics of U.S. options exchange-traded funds (ETFs), whose investment strategy involves options contracts. Analyzing monthly returns data from February 2014 to April 2023, we evaluate the risk-adjusted performance, volatility, and market sensitivity of U.S....
Persistent link: https://ebvufind01.dmz1.zbw.eu/10015471224
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A general theory of option pricing
Geršôn, Dāwid - 2023
Persistent link: https://ebvufind01.dmz1.zbw.eu/10014366656
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Smile-consistent spread skew
Pirjol, Dan - 2025
We study the shape of the Bachelier-implied volatility of a spread option on two assets following correlated local volatility models. This includes the limiting case of spread options on two correlated Black-Scholes (BS) assets. We give an analytical result for the at-the-money (ATM) skew of the...
Persistent link: https://ebvufind01.dmz1.zbw.eu/10015448976
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Does the options market underreact to firms' left-tail risk?
Chen, Bei; Quan Gan; Vasquez, Aurelio - 2025
Persistent link: https://ebvufind01.dmz1.zbw.eu/10015451354
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Does the Options Market Underreact to Firms'Left-Tail Risk?
Chen, Bei; Quan Gan - 2021
Book / Working Paper
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