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Volatilities implied by price changes in the S&P 500 options and futures contracts
Hilliard, Jitka; Li, Wei - In: Review of quantitative finance and accounting 42 (2014) 4, pp. 599-626
Persistent link: https://www.econbiz.de/10010431376
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A jump diffusion model for VIX volatility options and futures
Psychoyios, Dimitris; Dotsis, George; Markellos, Raphaēl N. - In: Review of quantitative finance and accounting 35 (2010) 3, pp. 245-269
Persistent link: https://www.econbiz.de/10009260276
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Pricing and hedging volatility smile under multifactor interest rate models
Kuo, I.-doun - In: Review of quantitative finance and accounting 36 (2011) 1, pp. 83-104
Persistent link: https://www.econbiz.de/10009271374
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Do dividend initiations signal a reduction in risk? : evidence from the option market
Jones, Jeffrey S.; Gu, Jenny; Liu, Pu - In: Review of quantitative finance and accounting 42 (2014) 1, pp. 143-158
Persistent link: https://www.econbiz.de/10010345141
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Option pricing under stock market cycles with jump risks : evidence from the S&P 500 index
Wang, Shin-yun; Chuang, Ming-Che; Lin, Shih-kuei; Shyu, … - In: Review of quantitative finance and accounting 56 (2021) 1, pp. 25-51
Persistent link: https://www.econbiz.de/10012432624
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Comparing the information in short sales and put options
Blau, Benjamin; Wade, Chip - In: Review of quantitative finance and accounting 41 (2013) 3, pp. 567-583
Persistent link: https://www.econbiz.de/10010188234
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Investor sentiment and interest rate volatility smile : evidence from Eurodollar options markets
Chen, Cathy Yi-Hsuan; Kuo, I.-doun - In: Review of quantitative finance and accounting 43 (2014) 2, pp. 367-391
Persistent link: https://www.econbiz.de/10010490403
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Explaining the volatility smile : non-parametric versus parametric option models
Lin, Hsuan-Chu; Chen, Ren-Raw; Palmon, Oded - In: Review of quantitative finance and accounting 46 (2016) 4, pp. 907-935
Persistent link: https://www.econbiz.de/10011595494
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The dynamics in the spot, futures, and call options with basis asymmetries : an intraday analysis in a generalized multivariate GARCH-M MSKST framework
Wang, Kai-li; Chen, Mei-ling - In: Review of quantitative finance and accounting 29 (2007) 4, pp. 371-394
Persistent link: https://www.econbiz.de/10003600297
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Relative option liquidity and price efficiency
Du, Brian - In: Review of quantitative finance and accounting 52 (2019) 4, pp. 1119-1135
Persistent link: https://www.econbiz.de/10012172939