Narrow search
Showing 1 - 10 of 39,549
Cover Image
Asymmetry in option implied volatility and yield : Evidence from China's ETF options market1,2
Chen, Xiaoyijing; Liu, Siyuan; Xu, Zailin; Yu, Mei - In: Pacific-Basin finance journal 85 (2024), pp. 1-14
Persistent link: https://www.econbiz.de/10014576054
Cover Image
Does the listing of optionsimprove forecasting power? : evidence from the Shanghai Stock Exchange
Guo, Biao; Wang, Zhen; Fan, Shuyu - In: Emerging markets, finance & trade : a journal of the … 58 (2022) 15, pp. 4300-4308
Persistent link: https://www.econbiz.de/10013463027
Cover Image
The cumulant risk premium
Kyle, Albert S.; Todorov, Karamfil - 2023
Persistent link: https://www.econbiz.de/10014414346
Cover Image
Default risk and option returns
Vasquez, Aurelio; Xiao, Xiao - In: Management science : journal of the Institute for … 70 (2024) 4, pp. 2144-2167
Persistent link: https://www.econbiz.de/10014519915
Cover Image
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
Cover Image
Implied volatility spreads and expected market returns
Atilgan, Yigit; Bali, Turan G.; Demirtas, K. Ozgur - In: Journal of business & economic statistics : JBES ; a … 33 (2015) 1, pp. 87-101
Persistent link: https://www.econbiz.de/10011389785
Cover Image
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
Cover Image
Why do options prices predict stock returns? : evidence from analyst tipping
Lin, Tse-Chun; Lu, Xiaolong - In: Journal of banking & finance 52 (2015), pp. 17-28
Persistent link: https://www.econbiz.de/10011377291
Cover Image
Understanding delta-hedged option returns in stochastic volatility environments
Sasaki, Hiroshi - In: Asia-Pacific financial markets 22 (2015) 2, pp. 151-184
Persistent link: https://www.econbiz.de/10011377526
Cover Image
Abnormal returns, risk, and options in large data sets
Caserta, Silvia; Daníelsson, Jón; Vries, Casper G. de - 1998
Large data sets in finance with millions of observations have becomewidely available. Such data sets enable the construction of reliablesemi-parametric estimates of the risk associated with extreme pricemovements. Our approach is based on semi-parametric statisticalextreme value analysis, and...
Persistent link: https://www.econbiz.de/10011299966