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Extraction of market expectations from risk-neutral density

Arnerić, Josip; Aljinović, Zdravka; Poklepović, Tea - In: Zbornik radova Ekonomskog Fakulteta u Rijeci : časopis … 33 (2015) 2, pp. 235-256

Persistent link: https://www.econbiz.de/10011429565

Too good to be true? : an analysis of the options market's reactions to earnings releases

Lu, Yan; Ray, Sugata - In: Journal of business finance & accounting : JBFA 43 (2016) 7/8, pp. 830-848

Persistent link: https://www.econbiz.de/10011627641

Lead-lag relationship between returns and implied moments : evidence from KOSPI 200 intraday options data

Kim, Sol; Lee, Geul - In: Review of Pacific Basin financial markets and policies 20 (2017) 3, pp. 1-20

Persistent link: https://www.econbiz.de/10011752436

Cross-sectional variation of option-implied volatility skew

Wu, Liuren; Tian, Meng - In: Management science : journal of the Institute for … 70 (2024) 6, pp. 3566-3580

Persistent link: https://www.econbiz.de/10014551903

Econometric analysis of financial derivatives: an overview

Chang, Chia-Lin; McAleer, Michael - In: Journal of econometrics 187 (2015) 2, pp. 403-407

Persistent link: https://www.econbiz.de/10011499624

Econometric analysis of financial derivatives : an overview

Chang, Chia-Lin; McAleer, Michael - 2014

One of the fastest growing areas in empirical finance, and also one of the least rigorously analyzed, especially from a financial econometrics perspective, is the econometric analysis of financial derivatives, which are typically complicated and difficult to analyze. The purpose of this special...

Persistent link: https://www.econbiz.de/10010465152