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The fear and exuberance from implied volatility of S&P 100 index options

Low, Cheekiat - In: The journal of business : B 77 (2004) 3, pp. 527-546

Persistent link: https://www.econbiz.de/10002205056

Cross hedging stock sector risk with index futures by considering the global equity systematic risk

Hsu, Wen Chung; Lee, Hsiang-Tai - In: International Journal of Financial Studies : open … 6 (2018) 2, pp. 1-17

nonelectronics subindex (NFNE) futures for cross hedging the price risk of stock sector indices traded on the Taiwan stock exchange …. A state-dependent volatility spillover GARCH hedging strategy is developed to capture the regime switching global equity … volatility spillover effect. Empirical results show that the NFNE futures exhibit superior effectiveness as an instrument for …

Persistent link: https://www.econbiz.de/10011883272

On the nature of (jump) skewness risk premia

Orłowski, Piotr; Schneider, Paul; Trojani, Fabio - In: Management science : journal of the Institute for … 70 (2024) 2, pp. 1154-1174

Persistent link: https://www.econbiz.de/10014513916

Modeling conditional factor risk premia implied by index option returns

Fournier, Mathieu; Jacobs, Kris; Orłowski, Piotr - 2021

Persistent link: https://www.econbiz.de/10013328240

Investor sentiment and option prices

Han, Bing - In: The review of financial studies 21 (2008) 1, pp. 387-414

Persistent link: https://www.econbiz.de/10003716174

The favorite-longshot bias in S&P 500 and FTSE 100 index futures options : the return to bets and the cost of insurance

Tompkins, Robert G.; Ziemba, William T.; Hodges, Stewart D. - In: Handbook of sports and lottery markets, (pp. 161-180). 2008

Persistent link: https://www.econbiz.de/10003779564

A nonlinear factor analysis of S&P 500 Index option returns

Jones, Christopher S. - In: The journal of finance : the journal of the American … 61 (2006) 5, pp. 2325-2363

Persistent link: https://www.econbiz.de/10003378710

Asymmetric pricing of implied systematic volatility in the cross-section of expected returns

Delisle, R. Jared; Doran, James S.; Peterson, David R. - In: The journal of futures markets 31 (2011) 1, pp. 34-54

Persistent link: https://www.econbiz.de/10008908412

Carbon future price return, oil future price return and stock index future price return in the U.S.

Wei, Ching Chun; Lin, Ya-Ling - In: International Journal of Energy Economics and Policy : IJEEP 6 (2016) 4, pp. 655-662

Persistent link: https://www.econbiz.de/10011550607

Market expectations and probability distributions implicit in option prices

McIntyre, Michael; Nitani, Miwako - In: International business and economics research journal 3 (2004) 10, pp. 17-30

Persistent link: https://www.econbiz.de/10002518130

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