Search Results - subject_exact:"Option trading"

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://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015591093

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://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015591116

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://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015628389

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://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015640263

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://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015656743

Analytical valuation of a general form of barrier option with stochastic interest rate and jumps

Guillaume, Tristan - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015440659

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://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015204018

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://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015549107

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://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015549125

Valuing catastrophe equity put options with liquidity risk, default risk and jumps

Tang, Chao; Chen, Peimin; Zhang, Shu - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015372584

Multi-step double barrier options under time-varying interest rates

Lee, Hangsuck; Kye, Yisub; Kong, Byungdoo; Song, Seongjoo - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015372649

The transmission of monetary policy to the cost of hedging

Fengler, Matthias; Koeniger, Winfried; Minger, Stephan - 2025

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

The transmission of monetary policy to the cost of hedging

Fengler, Matthias; Koeniger, Winfried; Minger, Stephan - 2024

Book / Working Paper

The transmission of monetary policy to the cost of hedging

Fengler, Matthias; Koeniger, Winfried; Minger, Stephan - 2024

Book / Working Paper

The disciplinary role of options trading : evidence from earnings manipulation

Hao, Mengshu; Hong, Jieying - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015331595

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://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015333614

Pricing options on the maximum or the minimum of several assets with default risk

Zhang, Jiayi; Zhou, Ke - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015338077

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...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015358908

Does options trading affect audit pricing?

Ali, Muhammad Jahangir; Balachandran, Balasingham; Huu … - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015395058

A refracted process in options : a credit valuation application

Clare, Andrew D.; Pinheiro, Carlos Manuel; Pozzolo, … - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015463474

Modeling and forecasting the CBOE VIX with the TVP-HAR model

Xu, Wen; Aschakulporn, Pakorn; Zhang, Jin E. - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015464704

Joint implied willow tree : an approach for joint S&P 500/VIX calibration

Dong, Bing; Xu, Wei; Cui, Zhenyu - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015464822

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://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015464836

Pricing VXX options with observable volatility dynamics from high-frequency VIX index

Lu, Shan - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015464863

Skewness premium for short-term exposure to squared market returns

Wallmeier, Martin - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015464878

Commodity option return predictability

Aka, Constant; Gagnon, Marie-Hélène; Power, Gabriel J. - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015464901

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://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015465751

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://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015471224

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://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015448976

Does the options market underreact to firms' left-tail risk?

Chen, Bei; Quan Gan; Vasquez, Aurelio - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015451354

Show one more version 1

Does the Options Market Underreact to Firms'Left-Tail Risk?

Chen, Bei; Quan Gan - 2021

Book / Working Paper

An optional semimartingales approach to risk theory

Shahrokhabadi, Mahdieh Aminian; Melnikov, Alexander; … - 2025

This paper aims to develop optional semimartingale methods in risk theory to allow for a larger class of risk models. Optional semimartingales are left-continuous with right-limit stochastic processes defined on a probability space where the usual conditions - completeness and right-continuity...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015408385

Interest rate sensitivity of callable bonds and higher-order approximations

Dow, Scott S.; Orfanos, Stefanos C. - 2025

Certain fixed-income securities, such as callable bonds and mortgage-backed securities subject to prepayment, typically exhibit negative convexity at low yields and cannot be adequately immunized through duration and convexity-matching alone. To address this residual risk, we examine the...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015408396

The extent to which contingent convertible leasing protects bank deposits : a barrier option approach

Khadimallah, Asma; Abid, Fathi - 2025

This paper proposes an alternative solution to the problem related to the risk that banks incur in the protection of deposits. This solution lies in the use by banks of contingent convertible leasing contracts to face financial distress situations by solidifying their own funds and thus...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015411475

Deep learning of transition probability densities for stochastic asset models with applications in option pricing

Su, Haozhe; Tretyakov, M. V.; Newton, David P. - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015413694

Real option valuation using Weibull distribution : a new framework for depreciation risk management

Ko, Seok Bin - 2025

This study aims to develop an accurate option pricing model for car leases by introducing a put option valuation framework based on the Weibull distribution. Traditional models typically assume asset values follow a lognormal distribution, failing to capture the left-skewed nature and bounded...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015432406

Do changes in the implied volatility of stock options predict future changes in CDS spreads?

Hong, Changsoo; Park, Yuen Jung - 2025

This study examines whether changes in the implied volatility of stock options have cross-sectional predictability for future changes in credit default swap (CDS) spreads in the Korean market. The major findings are as follows. First, in the CDS portfolio analysis, when buying a portfolio with...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015432424

Option strategies and market signals : do they add value to equity portfolios?

Blanc, Sylvestre; Fragnière, Emmanuel; Naya, Francesc; … - 2025

This study explores an innovative approach to incorporating option strategies into equity portfolios. It presents an alternative direction that institutional investors could take to overcome their current challenges, in a context where traditionally diversified portfolios of only equity and...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015432859

Markov-Modulated and Shifted Wishart processes with applications in derivatives pricing

Faraz, Behzad-Hussein Azadie; Arian, Hamid; Escobar, Marcos - 2025

The popular Wishart (WI) processes, first introduced by Bru in 1991, exhibit convenient analytical properties for modeling asset prices, particularly a closed-form characteristic function, and the ability to jointly model stochastic volatility and correlation. These features tend to increase...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015435445

Non-uniqueness of best-of option prices under basket calibration

Ahnouch, Mohammed; Elaachak, Lotfi; Ghadi, Abderrahim - 2025

This paper demonstrates that perfectly calibrating a multi-asset model to observed market prices of all basket call options is insufficient to uniquely determine the price of a best-of call option. Previous research on multi-asset option pricing has primarily focused on complete market settings...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015436527

Evaluation of perpetual American put options with general payoff

Anzilli, Luca; Cananà, Lucianna - 2025

In this paper, we study perpetual American put options with a generalized standard put payoff and establish sufficient conditions for the existence and uniqueness of the solution to the associated pricing problem. As a key tool, we express the Black-Scholes operator in terms of elasticity. This...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015436537

Enhanced calibration of spread option simulation pricing

Zhang, Shuming; Pirvu, Traian A. - 2025

This paper enhances the calibration procedure for pricing spread options with liquidity risk. The novelty is the use of Chebyshev interpolation to fit the prices.Numerical experiments reveal that the calibrated parameters are close to the ones obtained by a previous work. However, the fit...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015436699

Domain knowledge preservation in financial machine learning : evidence from autocallable note pricing

Ahnouch, Mohammed; Elaachak, Lotfi; Le Saout, Erwan - 2025

Machine learning applications in finance commonly employ feature decorrelation techniques developed for generic statistical problems. We investigate whether this practice appropriately addresses the unique characteristics of financial data, where correlations often encode fundamental economic...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015436793

American options with liquidation penalties

Battauz, Anna; De Donno, Marzia; Sbuelz, Alessandro - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015437263

Animal spirits on steroids : evidence from retail options trading in India

Agarwal, Vikas; Ghosh, Pulak; Prabhala, Nagpurnanand R.; … - 2025

We analyze a market-wide panel dataset on retail options trading from India, a market with an 80% share in option contracts traded worldwide. Retail traders both concentrated in and dominate index options trading. They exhibit short-term speculative behavior with significant day trading, short-...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015458796