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Effect of return and volatility calculation on option pricing : an analysis using BANKNIFTY

Ahmad, Akhlaque - In: Research bulletin / The Institute of Cost Accountants … 41 (2015) 1, pp. 103-110

Persistent link: https://www.econbiz.de/10011420532

Can derivative information predict stock price jumps?

Kwark, Noe-Keol; Kang, Hyoung Goo; Jun, Sang-Gyung - In: The journal of applied business research 31 (2015) 3, pp. 845-860

Persistent link: https://www.econbiz.de/10011304812

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

Investor expectations of volatility increases around large stock splits as implied in call option premia

Klein, Linda S.; Peterson, David R. - In: The journal of financial research 11 (1988) 1, pp. 71-80

Persistent link: https://www.econbiz.de/10003602801

Stochastic volatility models for the implied correlation index : evidence, properties and pricing

Escobar, Marcos; Lin, Fang - In: Finance research letters 35 (2020), pp. 1-8

Persistent link: https://www.econbiz.de/10012438998

Pricing and hedging options in incomplete markets : idiosyncratic risk, systematic risk and stochastic volatility

Chauveau, Thierry; Gatfaoui, Hayette - 2004

Persistent link: https://www.econbiz.de/10002253934

How dynamic hedging affects stock price movements : evidence from German option and certificate markets

Fischer, Georg - 2019

We examine the impact of dynamic hedging demand of German option and discount certificate markets on the … market, a structured financial product with a concave payoff profile, asking whether dynamic hedging by certificate issuers … induces negative return autocorrelation in stock markets. We find empirical evidence that the hedging demand of option issuers …

Persistent link: https://www.econbiz.de/10011960804

The impact of derivatives hedging on the stock market : evidence from Taiwan's covered warrants market

Chung, San-lin; Liu, Wen-rang; Tsai, Wei-che - In: Journal of banking & finance 42 (2014), pp. 123-133

Persistent link: https://www.econbiz.de/10010408417

Effective derivative hedging and initial public offering long-run performance

Nguyen, Hoa; Liu, Ming-hua - In: Accounting and finance : journal of the Accounting … 54 (2014) 4, pp. 1263-1294

Persistent link: https://www.econbiz.de/10010471788

Intraday momentum in the VIX futures market

Huang, Hong-Gia; Tsai, Wei-Che; Weng, Pei-Shih; Yang, … - In: Journal of banking & finance 148 (2023), pp. 1-16

Persistent link: https://www.econbiz.de/10014248282

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