Narrow search
Showing 1 - 10 of 172
Cover Image
Price discovery in the US stock and stock options markets : a portfolio approach
Holowczak, Richard; Simaan, Yusif E.; Wu, Liuren - In: Review of derivatives research 9 (2006) 1, pp. 37-65
Persistent link: https://www.econbiz.de/10003441188
Cover Image
Valuing reload options
Ingersoll, Jonathan E. - In: Review of derivatives research 9 (2006) 1, pp. 67-105
Persistent link: https://www.econbiz.de/10003441193
Cover Image
Is trading in the shortest-term index options profitable?
Pan, Ging-Ginq; Shiu, Yung-Ming; Wu, Tu-Cheng - In: Review of derivatives research 22 (2019) 1, pp. 169-201
Persistent link: https://www.econbiz.de/10012311668
Cover Image
Implied volatility and skewness surface
Feunou, Bruno; Fontaine, Jean-Sébastien; Tédongap, Roméo - In: Review of derivatives research 20 (2017) 2, pp. 167-202
Persistent link: https://www.econbiz.de/10011935979
Cover Image
Implied volatility surfaces : a comprehensive analysis using half a billion option prices
Ulrich, Maxim; Zimmer, Lukas; Merbecks, Constantin - In: Review of derivatives research 26 (2023) 2/3, pp. 135-169
Persistent link: https://www.econbiz.de/10014423871
Cover Image
Stock options and managers' incentives to cheat
Chesney, Marc; Gibson, Rajna - In: Review of derivatives research 11 (2008) 1/2, pp. 41-59
Persistent link: https://www.econbiz.de/10003829532
Cover Image
The effects of newly listed derivatives in a thin stock market
Bruand, Martin - In: Review of derivatives research 2 (1998) 1, pp. 59-86
Persistent link: https://www.econbiz.de/10001250186
Cover Image
The cross-section of average delta-hedge option returns under stochastic volatility
Ibáñez, Alfredo - In: Review of derivatives research 11 (2008) 3, pp. 205-244
Persistent link: https://www.econbiz.de/10003835031
Cover Image
Quadratic hedging in affine stochastic volatility models
Kallsen, Jan; Vierthauer, Richard - In: Review of derivatives research 12 (2009) 1, pp. 3-27
We determine the variance-optimal hedge for a subset of affine processes including a number of popular stochastic volatility models. This framework does not require the asset to be a martingale. We obtain semiexplicit formulas for the optimal hedging strategy and the minimal hedging error by...
Persistent link: https://www.econbiz.de/10003851734
Cover Image
Microstructural biases in empirical tests of option pricing models
Dennis, Patrick; Mayhew, Stewart - In: Review of derivatives research 12 (2009) 3, pp. 169-191
Persistent link: https://www.econbiz.de/10003882896