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Variation in Option Implied Volatility Spread and Future Stock Returns

DeLisle, Jared - 2020

Equity option markets exhibit intense trading activity. We use the variability of option implied volatility spread as a proxy for the impounding of new information, and changes in the interpretation of existing information, into option prices. Over the 2006 – 2016 period, we find that the...

Persistent link: https://www.econbiz.de/10012836056

Closed-form interpolation-based formulas for European call options written on defaultable assets

Orosi, Greg - In: The journal of asset management 16 (2015) 4, pp. 236-242

Persistent link: https://www.econbiz.de/10011413347

General optimized lower and upper bounds for discrete and continuous arithmetic Asian options

Fusai, Gianluca; Kyriakou, Ioannis - In: Mathematics of operations research 41 (2016) 2, pp. 531-559

Persistent link: https://www.econbiz.de/10011520483

A general framework for pricing Asian options under stochastic volatility on parallel architecture

Corsaro, Stefania; Kyriakou, Ioannis; Marazzina, Daniele; … - In: European journal of operational research : EJOR 272 (2019) 3, pp. 1082-1095

Persistent link: https://www.econbiz.de/10011942796

Novel no-arbitrage conditions for options written on defaultable assets

Orosi, Greg - In: Journal of derivatives & hedge funds 20 (2014) 4, pp. 201-205

Persistent link: https://www.econbiz.de/10010462904

Improved lower bounds of call options written on defaultable assets

Orosi, Greg - In: Journal of derivatives & hedge funds 20 (2014) 3, pp. 127-130

Persistent link: https://www.econbiz.de/10010462983

General lattice methods for arithmetic Asian options

Gambaro, Anna Maria; Kyriakou, Ioannis; Fusai, Gianluca - In: European journal of operational research : EJOR 282 (2020) 3, pp. 1185-1199

Persistent link: https://www.econbiz.de/10012161893

A novel method for arbitrage-free option surface construction

Orosi, Greg - In: Annals of financial economics 14 (2019) 4, pp. 1-14

Persistent link: https://www.econbiz.de/10012226655

Affine-structure models and the pricing of energy commodity derivatives

Kyriakou, Ioannis; Nomikos, Nikos K.; Papapostolou, Nikos C. - In: European financial management : the journal of the … 22 (2016) 5, pp. 853-881

Persistent link: https://www.econbiz.de/10011713164

A robust method to retrieve option implied risk neutral densities for defaultable assets

Leduc, Guillaume; Orosi, Greg - In: International journal of financial markets and derivatives 5 (2016) 2/4, pp. 212-224

Persistent link: https://www.econbiz.de/10011742316

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