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Why do option returns change sign from day to night?
Muravyev, Dmitriy; Ni, Xuechuan Charles - In: Journal of financial economics 136 (2020) 1, pp. 219-238
Persistent link: https://www.econbiz.de/10012545424
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Price and volatility co-jumps
Bandi, F. M.; Renò, Roberto - In: Journal of financial economics 119 (2016) 1, pp. 107-146
Persistent link: https://www.econbiz.de/10011589735
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Empirical pricing kernels obtained from the UK index options market
Liu, Xiaoquan; Shackleton, Mark B.; Taylor, Stephen; … - In: Applied economics letters 16 (2009) 10/12, pp. 989-993
Persistent link: https://www.econbiz.de/10003886597
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Cross-section of option returns and volatility
Goyal, Amit; Saretto, Alessio - In: Journal of financial economics 94 (2009) 2, pp. 310-326
Persistent link: https://www.econbiz.de/10003906353
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Jump risk, stock returns, and slope of implied volatility smile
Yan, Shu - In: Journal of financial economics 99 (2011) 1, pp. 216-233
Persistent link: https://www.econbiz.de/10009242390
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The instantaneous return and volatility of a covered call position
Edwards, Craig Steven - In: Applied economics letters 22 (2015) 13/15, pp. 1059-1063
Persistent link: https://www.econbiz.de/10011312207
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A comment on Christoffersen, Jacobs, and Ornthanalai (2012), "Dynamic jump intensities and risk premiums : evidence from S&P 500 returns and options"
Durham, Garland; Geweke, John; Ghosh, Pulak - In: Journal of financial economics 115 (2015) 1, pp. 210-214
Persistent link: https://www.econbiz.de/10011327221
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Growth to value : option exercise and the cross section of equity returns
Ai, Hengjie; Kiku, Dana - In: Journal of financial economics 107 (2013) 2, pp. 325-349
Persistent link: https://www.econbiz.de/10009719731
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Lévy jump risk : evidence from options and returns
Ornthanalai, Chayawat - In: Journal of financial economics 112 (2014) 1, pp. 69-90
Persistent link: https://www.econbiz.de/10010375952
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A study on the prediction of realized volatility of KOSPI 200 index option : pre & post the global financial crisis
Choi, Won Cheol; Park, Sang Beom - In: International journal of economics and finance 6 (2014) 12, pp. 15-26
Persistent link: https://www.econbiz.de/10010460917