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Information content of aggregate implied volatility spread
Han, Bing; Li, Gang - In: Management science : journal of the Institute for … 67 (2021) 2, pp. 1249-1269
Persistent link: https://www.econbiz.de/10012505469
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On the nature of (jump) skewness risk premia
Orłowski, Piotr; Schneider, Paul; Trojani, Fabio - In: Management science : journal of the Institute for … 70 (2024) 2, pp. 1154-1174
Persistent link: https://www.econbiz.de/10014513916
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Cross-sectional variation of option-implied volatility skew
Wu, Liuren; Tian, Meng - In: Management science : journal of the Institute for … 70 (2024) 6, pp. 3566-3580
Persistent link: https://www.econbiz.de/10014551903
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Generalized bounds on the conditional expected excess return on individual stocks
Chabi-Yo, Fousseni; Dim, Chukwuma Chijioke; Vilkov, Grigory - In: Management science : journal of the Institute for … 69 (2023) 2, pp. 922-939
Persistent link: https://www.econbiz.de/10014295173
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Investor attention and option returns
Choy, Siu Kai; Wei, Jason - In: Management science : journal of the Institute for … 69 (2023) 8, pp. 4845-4863
Persistent link: https://www.econbiz.de/10014339468
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Default risk and option returns
Vasquez, Aurelio; Xiao, Xiao - In: Management science : journal of the Institute for … 70 (2024) 4, pp. 2144-2167
Persistent link: https://www.econbiz.de/10014519915
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Loss functions in option valuation : a framework for selection
Bams, Dennis; Lehnert, Thorsten; Wolff, Christiaan … - In: Management science : journal of the Institute for … 55 (2009) 5, pp. 853-862
Persistent link: https://www.econbiz.de/10003860372
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Unspanned stochastic volatility in affine models : evidence from eurodollar futures and options
Bikbov, Ruslan; Chernov, Mikhail - In: Management science : journal of the Institute for … 55 (2009) 8, pp. 1292-1305
Persistent link: https://www.econbiz.de/10003885380
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Asymptotic normality for EMS option price estimator with continuous or discontinuous payoff functions
Yuan, Zhushun; Chen, Gemai - In: Management science : journal of the Institute for … 55 (2009) 8, pp. 1438-1450
Persistent link: https://www.econbiz.de/10003885452
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Valuing modularity as a real option
Gamba, Andrea; Fusari, Nicola - In: Management science : journal of the Institute for … 55 (2009) 11, pp. 1877-1896
Persistent link: https://www.econbiz.de/10003909226