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Are banks happy when managers go long? : the information content of managers' vested option holdings for loan pricing
Dezsö, Cristian L.; Ross, David Gaddis - In: Journal of financial economics 106 (2012) 2, pp. 395-410
Persistent link: https://www.econbiz.de/10009666527
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Capital structure effects on the prices of equity call options
Geske, Robert Leonard; Subrahmanyam, Avanidhar; Zhou, Yi - In: Journal of financial economics 121 (2016) 2, pp. 231-253
Persistent link: https://www.econbiz.de/10011590712
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Carry
Koijen, Ralph S. J.; Moskowitz, Tobias J.; Pedersen, … - In: Journal of financial economics 127 (2018) 2, pp. 197-225
Persistent link: https://www.econbiz.de/10011968803
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The jump leverage risk premium
Bollerslev, Tim; Todorov, Viktor - In: Journal of financial economics 150 (2023) 3, pp. 1-20
Persistent link: https://www.econbiz.de/10014462640
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Asymptotics of implied volatility to arbitrary order
Gao, Kun; Lee, Roger - In: Finance and stochastics 18 (2014) 2, pp. 349-392
Persistent link: https://www.econbiz.de/10010340727
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Second order multiscale stochastic volatility asymptotics : stochastic terminal layer analysis and calibration
Fouque, Jean-Pierre; Lorig, Matthew; Sircar, Kaushik Ronnie - In: Finance and stochastics 20 (2016) 3, pp. 543-588
Persistent link: https://www.econbiz.de/10011530043
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Short-time expansions for close-to-the-money options under a Lévy jump model with stochastic volatility
Figueroa-López, José E.; Ólafsson, Sveinn - In: Finance and stochastics 20 (2016) 1, pp. 219-265
Persistent link: https://www.econbiz.de/10011460382
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Volatility and the cross-section of returns on FX options
Fullwood, Jonathan; James, Jessica; Marsh, Ian - In: Journal of financial economics 141 (2021) 3, pp. 1262-1284
Persistent link: https://www.econbiz.de/10012873205
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Treasury yield implied volatility and real activity
Cremers, Martijn; Fleckenstein, Matthias; Gandhi, Priyank - In: Journal of financial economics 140 (2021) 2, pp. 412-435
Persistent link: https://www.econbiz.de/10012650450
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Implied volatility duration : a measure for the timing of uncertainty resolution
Schlag, Christian; Thimme, Julian; Weber, Rüdiger - In: Journal of financial economics 140 (2021) 1, pp. 127-144
Persistent link: https://www.econbiz.de/10013188678