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Can we forecast the implied volatility surface dynamics of equity options? : predictability and economic value tests
Bernales, Alejandro; Guidolin, Massimo - In: Journal of banking & finance 46 (2014), pp. 326-342
Persistent link: https://www.econbiz.de/10010468417
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Can we forecast the implied volatility surface dynamics of equity options? : predictability and economic value tests
Bernales, Alejandro; Guidolin, Massimo - 2012 - This version: October, 2012
Persistent link: https://www.econbiz.de/10011814410
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Pricing individual stock options using both stock and market index information
Rombouts, Jeroen V. K.; Stentoft, Lars; Violante, Francesco - In: Journal of banking & finance 111 (2020), pp. 1-16
Persistent link: https://www.econbiz.de/10012221075
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Investigating the influence of stock options trading activities on underlying stock valuation in Taiwan
Hsu, Ming-feng; Wang, Kehluh - In: The empirical economics letters : a monthly … 12 (2013) 9, pp. 995-1004
Persistent link: https://www.econbiz.de/10010362319
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Testing the information-based trading hypothesis in the option market : evidence from share repurchases
Badshah, Ihsan Ullah; Koerniadi, Hardjo; Kolari, James W. - In: Journal of risk and financial management : JRFM 12 (2019) 4/179, pp. 1-11
research on this hypothesis to open-market share repurchases. Empirical tests showed that the implied volatility spread was not … implied volatility spread and subsequent stock return volatility around open-market share repurchase events. We concluded that … option traders have private information on the volatility of stock returns and superior information processing ability that …
Persistent link: https://www.econbiz.de/10012171287
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Das Phänomen der Volatilität : die Beurteilung der Informationseffizienz des europäischen Optionsmarktes
Bertsch, Marina - 2008
Persistent link: https://www.econbiz.de/10013432207
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Option prices and model-free measurement of implied herd behavior in stock markets
Linders, Daniël; Dhaene, Jan; Schoutens, Wim - In: International journal of financial engineering 2 (2015) 2, pp. 1-35
Persistent link: https://www.econbiz.de/10011333475
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Option prices and model-free measurement of implied herd behavior in stock markets
Linders, Daniël; Dhaene, Jan; Schoutens, Wim - 2015 - This version: December 20, 2014
In this paper, we introduce two classes of indices which can be used to measure the market perception concerning the degree of dependency that exists between a set of random variables, representing different stock prices at a fixed future date. The construction of these measures is based on the...
Persistent link: https://www.econbiz.de/10010464790
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Does introduction of stock options impact stock volatility? : empirical evidence from underlying stocks in Indian market
Joshi, Himanshu - In: Theoretical economics letters 8 (2018) 10, pp. 1803-1815
Persistent link: https://www.econbiz.de/10011889154
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The information content of option-based forecasts of volatility : evidence from the Italian stock market
Muzzioli, Silvia - In: The quarterly journal of finance 3 (2013) 1, pp. 13500051-135000546
Persistent link: https://www.econbiz.de/10010198265