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The use of option prices to assess the skewness risk premium
Elyasiani, Elyas; Gambarelli, Luca; Muzzioli, Silvia - In: Applied economics 52 (2020) 55, pp. 6057-6074
Persistent link: https://www.econbiz.de/10012308429
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Risk aversion, fanning preference and volatility smirk on S&P 500 index options
Chen, Jian; Ma, Chenghu - In: Applied economics 48 (2016) 34/36, pp. 3277-3292
Persistent link: https://www.econbiz.de/10011617231
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Which value component has a larger effect on idiosyncratic volatility, assets in place or growth options?
Hu, Yu; Jiang, Xiaoquan - In: Applied economics 56 (2024) 46, pp. 5530-5554
Persistent link: https://www.econbiz.de/10015051109
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Impacts of derivative markets on spot market volatility and their persistence
Fong, Lik; Han, Chulwoo - In: Applied economics 47 (2015) 22/24, pp. 2250-2258
Persistent link: https://www.econbiz.de/10010516655
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Option smiling when investors' estimates of asset volatility disagree
Lin, Chien-chih - In: Applied economics 46 (2014) 31/33, pp. 3812-3827
Persistent link: https://www.econbiz.de/10010419898
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Real options or disaster risk? : distinguishing uncertainty effects on investment
Dihle, Hanno; Mentges, Rafael - In: Applied economics 50 (2018) 34/35, pp. 3771-3786
Persistent link: https://www.econbiz.de/10012059410
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What explains long memory in futures price volatility?
Power, G. J.; Turvey, Calum Greig - In: Applied economics 43 (2011) 22/24, pp. 3395-3404
Persistent link: https://www.econbiz.de/10009357366
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Do Aussie markets smile? : implied volatility functions and determinants
Tanha, Hassan; Dempsey, Michael - In: Applied economics 47 (2015) 28/30, pp. 3143-3163
Persistent link: https://www.econbiz.de/10011289355
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Spot market and derivative segment of equity in India
Sharma, Dheeraj P.; Ahalawat, Shweta; Patro, Archana; … - In: Applied economics 54 (2022) 3, pp. 326-339
Persistent link: https://www.econbiz.de/10012874036
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Option pricing in an investment risk-return setting
Stoyanov, Stoyan V.; Račev, Svetlozar T.; Shirvani, … - In: Applied economics 54 (2022) 14, pp. 1625-1638
Persistent link: https://www.econbiz.de/10012875529