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Option smiling when investors' estimates of asset volatility disagree
Lin, Chien-chih - In: Applied economics 46 (2014) 31/33, pp. 3812-3827
Persistent link: https://www.econbiz.de/10010419898
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Option Momentum
Heston, Steven L.; Li, Shuaiqi - 2021
This paper improves continuous-time variance swap approximation formulas to derive exact returns on benchmark VIX option portfolios. The new methodology preserves the variance swap interpretation that decomposes returns into realized variance and option implied-variance.We apply this new...
Persistent link: https://www.econbiz.de/10013249009
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Option spread trades : returns on directional and volatility trades
McKeon, Ryan - In: The journal of asset management 17 (2016) 6, pp. 422-433
Persistent link: https://www.econbiz.de/10011666251
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Option pricing model with sentiment
Yang, Chunpeng; Gao, Bin; Yang, Jianlei - In: Review of derivatives research 19 (2016) 2, pp. 147-164
Persistent link: https://www.econbiz.de/10011927963
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Testing momentum effectfor the US market : from equity to option strategies
Siri, Julián R.; Serur, Juan A.; Dapena, José P. - 2017
Conventional financial theory considers ex-ante that risk, generally measured by the volatility, has to be …
Persistent link: https://www.econbiz.de/10011757486
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Option momentum
Heston, Steven L.; Jones, Christopher S.; Khorram, Mehdi; … - In: The journal of finance : the journal of the American … 78 (2023) 6, pp. 3141-3192
Persistent link: https://www.econbiz.de/10014437686
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Beware of extreme investor sentiments! : Indian evidence on the performance of neuro-specific options volatility trading strategies on the facets of COVID-19
Royit, Ansu; Jose, Babu; Varghese, James - In: Journal of emerging market finance 22 (2023) 3, pp. 326-350
Persistent link: https://www.econbiz.de/10014382363
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Option Momentum
Heston, Steven L.; Jones, Christopher S.; Khorram, Mehdi; … - 2022
volatility and other characteristics. Across stocks, trading costs are unrelated to the magnitude of momentum profits …
Persistent link: https://www.econbiz.de/10013406104
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The performance of model based option trading strategies
Eraker, Bjørn - In: Review of derivatives research 16 (2013) 1, pp. 1-23
Persistent link: https://www.econbiz.de/10009729949
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Which traders contribute most to price discovery? : evidence from the KOSPI 200 options market
Kang, Hankil; Kang, Jangkoo; Lee, Soonhee - In: Emerging markets finance & trade : a journal of the … 52 (2016) 10/12, pp. 2335-2347
Persistent link: https://www.econbiz.de/10011672513