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~institution:"Karlsruher Institut für Technologie"
~institution:"National Bureau of Economic Research"
~institution:"Svenska Handelshögskolan <Helsinki>"
~person:"Kelly, Bryan T."
~subject:"Option pricing theory"
~subject:"Volatilität"
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Option pricing theory
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Svenska Handelshögskolan <Helsinki>
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A Factor Model For Option Returns
Buechner, Matthias
;
Kelly, Bryan T.
-
National Bureau of Economic Research
-
2021
this problem by tracking contracts in terms of their
pricing
-relevant characteristics via time-varying latent factor …
Persistent link: https://www.econbiz.de/10012660047
Saved in:
2
The Common Factor in Idiosyncratic Volatility : Quantitative Asset
Pricing
Implications
Herskovic, Bernard
-
2014
those in the highest quintile. The CIV factor helps to explain a number of asset
pricing
anomalies. We provide new evidence …
Persistent link: https://www.econbiz.de/10012458588
Saved in:
3
Too-Systemic-To-Fail : What Option Markets Imply About Sector-wide Government Guarantees
Kelly, Bryan T.
-
2011
Investors in option markets price in a substantial collective government bailout guarantee in the financial sector, which puts a floor on the equity value of the financial sector as a whole, but not on the value of the individual firms. The guarantee makes put options on the financial sector...
Persistent link: https://www.econbiz.de/10012461509
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