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A supply-demand analysis of the index option market
Barras, Laurent; Malkhozov, Ayteck; Roussellet, Guillaume - 2021
Persistent link: https://www.econbiz.de/10012587146
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Option Implied Dividends
Kragt, Jac - 2018
This is the first paper to calculate and analyze option-implied dividends for individual US companies, while accounting for the early exercise premium. These firm-level implied dividends show substantial variation relative to actual dividends over time as well as in the cross-section. Implied...
Persistent link: https://www.econbiz.de/10012933833
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Modeling conditional factor risk premia implied by index option returns
Fournier, Mathieu; Jacobs, Kris; Orłowski, Piotr - 2021
Persistent link: https://www.econbiz.de/10013328240
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Positive stock information in out-of-the-money option prices
Gkionis, Konstantinos; Kostakis, Alexandros; … - 2018
We examine whether the option market leads the stock market with respect to positive in addition to negative price discovery. We document that out-of-themoney (OTM) option prices, which determine the Risk-Neutral Skewness (RNS) of the underlying stock return's distribution, can embed positive...
Persistent link: https://www.econbiz.de/10011872403
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The contribution of transaction costs to expected stock returns : a novel measure
Hiraki, Kazuhiro; Skiadopoulos, George - 2023
We document that a theoretically founded, real-time, and easy-to-implement option-based measure, termed synthetic-stock difference (SSD), accurately estimates the part of stock's expected return arising from stock's transaction costs. We calculate SSD for U.S. optionable stocks. SSD can be more...
Persistent link: https://www.econbiz.de/10014231634
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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
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Valuing bonds with embedded average price options
Easton, Stephen Andrew - 1996
Persistent link: https://www.econbiz.de/10000947723
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Pricing and hedging illiquid energy derivatives : an application to the JCC index
Scarpa, Elisa (contributor); Manera, Matteo (contributor) - 2006
Persistent link: https://www.econbiz.de/10003605624
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Predictable dynamics in the S&P 500 index options implied volatility surface
Gonçalves, Silva (contributor);  … - 2005
"One key stylized fact in the empirical option pricing literature is the existence of an implied volatility surface … (IVS). The usual approach consists of fitting a linear model linking the implied volatility to the time to maturity and the … Dumas et al. (1998). In the second-stage we model the dynamics of the cross-sectional first-stage implied volatility surface …
Persistent link: https://www.econbiz.de/10002977383
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Stock index dynamics and the valuation of stock index derivatives in a general equilibrium model with stochastic interest rates
Sørensen, Carsten - 1996
Persistent link: https://www.econbiz.de/10000950913