Search Results - subject:"Moneyness"

Moneyness, underlying asset volatility, and the cross-section of option returns*

Aretz, Kevin; Lin, Ming-Tsung; Poon, Ser-Huang - In: Review of finance : journal of the European Finance … 27 (2023) 1, pp. 289-323

Persistent link: https://www.econbiz.de/10013543163

What's in the moneyness? : moneyness spread and future stock returns

Li, Zhan - In: Journal of investment management : JOIM 20 (2022) 3, pp. 70-88

Persistent link: https://www.econbiz.de/10013465423

Activity of informed traders and stock returns

Hsu, CheChun - In: Managerial finance 50 (2024) 5, pp. 908-919

Persistent link: https://www.econbiz.de/10015049150

An empirical testing of Black-Scholes option pricing model : a study of option moneyness (at-the-money)

Rinky; Singh, Shakti - In: International Journal of Financial Markets and … 9 (2023) 3, pp. 208-229

Persistent link: https://www.econbiz.de/10015064444

Informational role of futures volume for spot volatility

Rastogi, Shailesh; Tripathi, Vikas; Kuknor, Sunaina - In: Pacific accounting review 34 (2022) 1, pp. 49-69

Persistent link: https://www.econbiz.de/10012798318

Put-call parity in Indian stock markets post turmoil settlement

Gupta, Pankaj Kumar - In: Trends economics and management 12 (2018) 32, pp. 49-61

the National Stock Exchange of India (NSE) on various parameters including Moneyness, arbitrage differential, and time to …

Persistent link: https://www.econbiz.de/10012022238

The 2019 government shutdown increased uncertainty in major agricultural commodity markets

Goyal, Raghav; Adjemian, Michael K. - In: Food policy : economics planning and politics of food … 102 (2021), pp. 1-15

Persistent link: https://www.econbiz.de/10012817189

Option pricing using high-frequency futures prices

Degiannakis, Stavros; Floros, Christos; Poufinas, Thomas; … - In: Journal of risk 23 (2021) 4, pp. 81-101

Persistent link: https://www.econbiz.de/10012593448

A study of Black-Scholes model’s applicability in Indian capital markets

Srivastava, Anubha; Shastri, Manjula - In: Paradigm : the journal of Institute of Management Technology 24 (2020) 1, pp. 73-92

Persistent link: https://www.econbiz.de/10012229650

Leveraged ETF options implied volatility paradox : a statistical study

Härdle, Wolfgang; Nasekin, Sergey; Hong, Zhiwu - 2016

In this paper, we study the statistical properties of the moneyness scaling transformation by Leung and Sircar (2015 …). This transformation adjusts the moneyness coordinate of the implied volatility smile in an attempt to remove the …, even after moneyness scaling has been performed. This presents possible arbitrage opportunities on the (L)ETF market which …

Persistent link: https://www.econbiz.de/10011437891