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The delta- and vega-related information content of near-the-money option market trading activity
Rourke, Thomas - In: Journal of financial markets 20 (2014), pp. 175-193
Persistent link: https://www.econbiz.de/10010442379
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Is there price discovery in equity options?
Muravyev, Dmitriy; Pearson, Neil D.; Broussard, John Paul - In: Journal of financial economics 107 (2013) 2, pp. 259-283
Persistent link: https://www.econbiz.de/10009719741
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The adaptive mesh model : a new approach to efficient option pricing
Figlewski, Stephen; Gao, Bin - In: Journal of financial economics 53 (1999) 3, pp. 313-351
Persistent link: https://www.econbiz.de/10001394622
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Stocking up : executive optimism, option exercise, and share retention
Sen, Rik; Tumarkin, Robert - In: Journal of financial economics 118 (2015) 2, pp. 399-430
Persistent link: https://www.econbiz.de/10011480523
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Volatility-of-volatility and tail risk hedging returns
Park, Yang-Ho - In: Journal of financial markets 26 (2015), pp. 38-63
Persistent link: https://www.econbiz.de/10011477272
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The leverage effect and the basket-index put spread
Bai, Jennie; Goldstein, Robert S.; Yang, Fan - In: Journal of financial economics 131 (2019) 1, pp. 186-205
Persistent link: https://www.econbiz.de/10012130889
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Analyzing volatility risk and risk premium in option contracts : a new theory
Carr, Peter; Wu, Liuren - In: Journal of financial economics 120 (2016) 1, pp. 1-20
Persistent link: https://www.econbiz.de/10011590060
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Using options to measure the full value-effect of an event : application to Obamacare
Borochin, Paul; Golec, Joseph - In: Journal of financial economics 120 (2016) 1, pp. 169-193
Persistent link: https://www.econbiz.de/10011590075
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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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Gambling preference and individual equity option returns
Byun, Suk Joon; Kim, Da-Hea - In: Journal of financial economics 122 (2016) 1, pp. 155-174
Persistent link: https://www.econbiz.de/10011590896