The Smirk in the S&P500 Futures Options Prices : A Linearized Factor Analysis
Year of publication: |
[2009]
|
---|---|
Authors: | Cheuk, Terry H. F. |
Other Persons: | Dyrting, Sigurd (contributor) ; Carverhill, Andrew P. (contributor) |
Publisher: |
[2009]: [S.l.] : SSRN |
Extent: | 1 Online-Ressource (34 p) |
---|---|
Type of publication: | Book / Working Paper |
Notes: | Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments February 14, 2009 erstellt |
Other identifiers: | 10.2139/ssrn.1342925 [DOI] |
Classification: | G12 - Asset Pricing ; G13 - Contingent Pricing; Futures Pricing |
Source: | ECONIS - Online Catalogue of the ZBW |
-
Can standard preferences explain the prices of out-of-the-money S&P 500 put options?
Benzoni, Luca, (2011)
-
Explaining asset pricing puzzles associated with the 1987 market crash
Benzoni, Luca, (2010)
-
Hedging barrier options: Current methods and alternatives
Dupont, Dominique Y., (2001)
- More ...
-
The smirk in the S&P500 futures options prices : a linearized factor analysis
Carverhill, Andrew, (2009)
-
The Smirk in the S&P500 Futures Options Prices : A Linearized Factor Analysis
Carverhill, Andrew P., (2007)
-
The Price of the Smirk : Returns to Delta and Vega Neutral Portfolios of S&P 500 Futures Options
Carverhill, Andrew P., (2002)
- More ...