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

Kapetanios, George; Neumann, Michael; Skiadopoulos, George - 2014

We study the real-time characteristics and drivers of jumps in option prices. To this end, we employ high frequency data from the 24-hour E-mini S&P 500 options market. We find that option prices do not jump simultaneously across strikes and maturities and are uncorrelated with jumps in the...

Persistent link: https://www.econbiz.de/10010472845

Implied volatility from options on gold futures : do statistical forecasts add value or simply paint the lilly?

Neely, Christopher J. (contributor) - 2003 - [Elektronische Ressource], rev

Persistent link: https://www.econbiz.de/10001982800

Subdiffusive option price model with inverse Gaussian subordinator

Shchestyuk, Nataliya; Tyshchenkob, Sergii - 2024

the model, the risk-free bond motion and classical GBM are time-changed by an inverted inverse Gaussian (IG) subordinator …

Persistent link: https://www.econbiz.de/10014464920

Securities transaction tax-case study of India

Malik, Neha - 2014

attempts to quantify the impact of STT imposition and subsequent revisions on volatility and trading volume during Oct 2003 …-July 2013. Empirical results show a mixed response of volatility and volume to changes in STT. Even though STT has …

Persistent link: https://www.econbiz.de/10010354157

Positive stock information in out-of-the-money option prices

Gkionis, Konstantinos; Kostakis, Alexandros; … - 2018

discovery. We document that out-of-themoney (OTM) option prices, which determine the Risk-Neutral Skewness (RNS) of the … risk. These findings are consistent with a trading mechanism where investors choose to exploit perceived stock underpricing …

Persistent link: https://www.econbiz.de/10011872403