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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

Delta and vega exposure trading in stock and option markets

Maraachlian, Hilda; Rourke, Thomas - In: Journal of financial markets 18 (2014), pp. 96-125

Persistent link: https://www.econbiz.de/10010442472

Price discovery in stock and options markets

Patel, Vinay; Putniņš, Tālis J.; Michayluk, David; … - In: Journal of financial markets 47 (2020), pp. 1-28

Persistent link: https://www.econbiz.de/10012631761

Implied volatility and investor beliefs in experimental asset markets

Ackert, Lucy F.; Kluger, Brian D.; Qi, Li - In: Journal of financial markets 43 (2019), pp. 121-136

Persistent link: https://www.econbiz.de/10012316306

Jumps in option prices and their determinants : real-time evidence from the E-mini S&P 500 options market

Kapetanios, George; Konstantinidi, Eirini; Neumann, Michael - In: Journal of financial markets 46 (2019), pp. 1-26

Persistent link: https://www.econbiz.de/10012317888

The information content of short-term options

Oikonomou, Ioannis; Stancu, Andrei; Symeonidis, Lazaros; … - In: Journal of financial markets 46 (2019), pp. 1-17

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Information flow and credit rating announcements

Khorram, Mehdi; Mo, Haitao; Sanger, Gary C. - In: Journal of financial markets 65 (2023), pp. 1-27

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Risk Preferences Implied by Synthetic Options

Dew-Becker, Ian; Giglio, Stefano - National Bureau of Economic Research - 2023

The historical returns on equity index options are well known to be strikingly negative. That is typically explained either by investors having convex marginal utility over stock returns (e.g. crash/variance aversion) or by intermediaries demanding a premium for hedging risk. This paper examines...

Persistent link: https://www.econbiz.de/10014436964

Liquidity effect in OTC options markets : premium or discount?

Deuskar, Prachi; Gupta, Anurag; Subrahmanyam, Marti G. - In: Journal of financial markets 14 (2011) 1, pp. 127-160

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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