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Executive stock options, informative stock prices and innovation
Xin, Xiang - In: Economic research 35 (2022) 1,6, pp. 6233-6256
Persistent link: https://www.econbiz.de/10014427462
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Optionspreistheorie bei vagen Daten
Korolev, Konstantin; Leifert, Kai D.; Rommelfanger, Heinrich - 1999
show that options can also be valued when uncertainty is not reduced to probabilities of payoffs. In our approach the basic …
Persistent link: https://www.econbiz.de/10010316280
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The implied-realized volatility relation with jumps in underlying asset prices
Christensen, Bent Jesper; Nielsen, Morten Ørregaard - 2005
Recent developments allow a nonparametric separation of the continuous sample path component and the jump component of realized volatility. The jump component has very different time series properties than the continuous component, and accounting for this allows improved forecasting of future...
Persistent link: https://www.econbiz.de/10010290416
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The impact of weekly options on stock returns and volatility
Cai, Francis; Xu, LianZan; Chen, Haiyang; Zhang, Ge - In: The international journal of finance 26 (2014) 1, pp. 52-64
Persistent link: https://www.econbiz.de/10010513612
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Implied idiosyncratic volatility and stock return predictability
Mateus, Cesario; Konsilp, Worawuth - In: Journal of mathematical finance 4 (2014) 5, pp. 338-352
Persistent link: https://www.econbiz.de/10011312407
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Does option trading convey stock price information?
Hu, Jianfeng - In: Journal of financial economics 111 (2014) 3, pp. 625-645
Persistent link: https://www.econbiz.de/10010375919
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Executive options with inflated equity prices
Wilson, Linus; Wu, Yan Wendy - In: International journal of managerial finance : IJMF 10 (2014) 3, pp. 266-292
Persistent link: https://www.econbiz.de/10010382207
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Options trading volume and stock price response to earnings announcements
Truong, Cameron; Corrado, Charles Joseph - In: Review of accounting studies 19 (2014) 1, pp. 161-209
Persistent link: https://www.econbiz.de/10010347393
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Does the pricing kernel anomaly reflect forward looking beliefs?
Sala, Carlo - 2015
precision parameter of the DP process is calibrated to the amount of trading activity in deep-out-of-the-money options. We use …
Persistent link: https://www.econbiz.de/10011506354
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Measuring gambling activity in options market
Bei Chen; Quan Gan - In: Review of behavioral finance : RBF 14 (2022) 3, pp. 345-378
Persistent link: https://www.econbiz.de/10013286632