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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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Deviations from put-call parity and stock return predictability
Cremers, Martijn; Weinbaum, David - In: Journal of financial and quantitative analysis : JFQA 45 (2010) 2, pp. 335-367
Persistent link: https://www.econbiz.de/10003990691
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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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The economic value of realized volatility : using high-frequency returns for option valuation
Christoffersen, Peter F.; Feunou, Bruno; Jacobs, Kris; … - In: Journal of financial and quantitative analysis : JFQA 49 (2014) 3, pp. 663-697
Persistent link: https://www.econbiz.de/10010487742
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Derivatives performance attribution
Rubinstein, Mark - In: Journal of financial and quantitative analysis : JFQA 36 (2001) 1, pp. 75-92
Persistent link: https://www.econbiz.de/10001569200
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Moment risk premia and stock return predictability
Fan, Zhenzhen; Xiao, Xiao; Zhou, Hao - In: Journal of financial and quantitative analysis : JFQA 57 (2022) 1, pp. 67-93
Persistent link: https://www.econbiz.de/10012805776
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Equity volatility term structures and the cross section of option returns
Vasquez, Aurelio - In: Journal of financial and quantitative analysis : JFQA 52 (2017) 6, pp. 2727-2754
Persistent link: https://www.econbiz.de/10011929375
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Good volatility, bad volatility, and option pricing
Feunou, Bruno; Okou, Cédric - In: Journal of financial and quantitative analysis : JFQA 54 (2019) 2, pp. 695-727
Persistent link: https://www.econbiz.de/10012138931
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The pricing of volatility and jump risks in the cross-section of index option returns
Hu, Guanglian; Liu, Yuguo - In: Journal of financial and quantitative analysis : JFQA 57 (2022) 6, pp. 2385-2411
Persistent link: https://www.econbiz.de/10013367097
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Firm-specific stock return variation and capital structure decisions
Chan, Chia-chung; Zhang, Yonghe - In: Applied economics letters 15 (2008) 4/6, pp. 293-299
Persistent link: https://www.econbiz.de/10003727256