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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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The lead-lag relation between VIX futures and SPX futures
Bangsgaard, Christine; Kokholm, Thomas - In: Journal of financial markets 67 (2024), pp. 1-26
Persistent link: https://www.econbiz.de/10014491067
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Learning to smile : can rational learning explain predictable dynamics in the implied volatility surface?
Bernales, Alejandro; Guidolin, Massimo - In: Journal of financial markets 26 (2015), pp. 1-37
Persistent link: https://www.econbiz.de/10011477269
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Local parametric analysis of derivatives pricing and hedging
Bossaerts, Peter L.; Hillion, Pierre Henri - In: Journal of financial markets 6 (2003) 4, pp. 573-605
Persistent link: https://www.econbiz.de/10001780139
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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
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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
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The economics of the financial market for volatility trading
Ruan, Xinfeng; Zhang, Jin E. - In: Journal of financial markets 52 (2021), pp. 1-20
Persistent link: https://www.econbiz.de/10013266318
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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
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Price discovery in CDS and equity markets : default risk-based heterogeneity in the systematic investment grade and high yield sectors
Procasky, William J. - In: Journal of financial markets 54 (2021), pp. 1-15
Persistent link: https://www.econbiz.de/10013273142
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The effects of randomizing the opening time on the performance of a stock market under stress
Hauser, Shmuel; Kamara, Avraham; Shurki, Itzik - In: Journal of financial markets 15 (2012) 4, pp. 392-415
Persistent link: https://www.econbiz.de/10009655269