Jumps in option prices and their determinants : real-time evidence from the E-mini S&P 500 options market
Year of publication: |
2019
|
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Authors: | Kapetanios, George ; Konstantinidi, Eirini ; Neumann, Michael ; Skiadopoulos, George |
Published in: |
Journal of financial markets. - Amsterdam [u.a.] : Elsevier, ISSN 1386-4181, ZDB-ID 1402747-1. - Vol. 46.2019, p. 1-26
|
Subject: | Asymmetric information | Co-jump | Limit order book market | Liquidity | News announcement | Option market | Asymmetrische Information | Optionsgeschäft | Option trading | Ankündigungseffekt | Announcement effect | Optionspreistheorie | Option pricing theory | Volatilität | Volatility | Derivat | Derivative | Geld-Brief-Spanne | Bid-ask spread | Wertpapierhandel | Securities trading | Marktmikrostruktur | Market microstructure |
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