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A tale of two regimes : theory and empirical evidence for a Markov-modulated jump diffusion model of equity returns and derivative pricing implications
Chang, Charles; Fuh, Cheng-der; Lin, Shih-kuei - In: Journal of banking & finance 37 (2013) 8, pp. 3204-3217
Persistent link: https://www.econbiz.de/10009778451
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Jump, diffusion, and long-term volatility risks with incremental information in VIX assets
Chen, Sonnan; Gu, Yuchi - In: The journal of derivatives : JOD 28 (2021) 3, pp. 60-96
Persistent link: https://www.econbiz.de/10012486031
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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
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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
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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
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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
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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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Analysis of option returns in perfect and imperfect markets
Salazar Volkmann, David - 2020
and volatility of S&P500 put returns and ITM call returns, but not OTM call returns. Imperfect markets exist under market …
Persistent link: https://www.econbiz.de/10012255437
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The incremental information content of innovations in implied idiosyncratic volatility
Moll, Cliff R.; Huffman, Stephen P. - In: Review of financial economics : RFE 30 (2016), pp. 33-44
Persistent link: https://www.econbiz.de/10011579946
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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