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On the use of options by mutual funds : do they know what they are doing?
Cici, Gjergji; Palacios, Luis-Felipe - In: Journal of banking & finance 50 (2015), pp. 157-168
Persistent link: https://www.econbiz.de/10010509619
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Robust hedging performance and volatility risk in option markets : application to Standard and Poor's 500 and Taiwan index options
Han, Chuan-Hsiang; Chang, Chien-Hung; Kuo, Chii-Shyan; … - In: International review of economics & finance : IREF 40 (2015), pp. 160-173
Persistent link: https://www.econbiz.de/10011573571
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An empirical test of market efficiency of Indian index options market using the Black-Scholes model and dynamic hedging strategy
Mohanti, Debaditya; Priyan, P. K. - In: Paradigm : the journal of Institute of Management Technology 18 (2014) 2, pp. 221-237
Persistent link: https://www.econbiz.de/10011760603
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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
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On practitioners closed-form GARCH option pricing
Mozumder, Sharif; Frijns, Bart; Talukdar, Bakhtear; … - In: International review of financial analysis 94 (2024), pp. 1-12
Persistent link: https://www.econbiz.de/10014543999
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Hedging performance using google trends : evidence from the Indian forex options market
Chi, Tsung-Li; Liu, Hung-Tsen; Chang, Chia-Chien - In: International review of economics & finance : IREF 85 (2023), pp. 107-123
Persistent link: https://www.econbiz.de/10014424052
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Estimating probability distributions of future asset prices : empirical transformations from option-implied risk-neutral to real-world density functions
Vincent-Humphreys, Rupert de; Noss, Joseph - 2012
Persistent link: https://www.econbiz.de/10009559811
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Liquidity effect in OTC options markets : premium or discount?
Deuskar, Prachi; Gupta, Anurag; Subrahmanyam, Marti G. - In: Journal of financial markets 14 (2011) 1, pp. 127-160
Persistent link: https://www.econbiz.de/10009267085
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Performance of Black-Scholes model with TSRV estimates
Singh, Shivam; Vipul - In: Managerial finance 41 (2015) 8, pp. 857-870
Persistent link: https://www.econbiz.de/10011336586
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The option to stock volume ratio and future returns
Johnson, Travis L.; So, Eric - In: Journal of financial economics 106 (2012) 2, pp. 262-286
Persistent link: https://www.econbiz.de/10009666658