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ECONIS (ZBW)
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1
The impact of COVID-19 on tail risk : evidence from Nifty index options
Agarwalla, Sobhesh Kumar
;
Varma, Jayanth Rama
;
Virmani, …
- In:
Economics letters
204
(
2021
),
pp. 1-4
Persistent link: https://www.econbiz.de/10012607446
Saved in:
2
The COVID-19 risk in the Chinese option market
Li, Jianhui
;
Ruan, Xinfeng
;
Gehricke, Sebastian A.
; …
- In:
International review of finance : the official journal …
22
(
2022
)
2
,
pp. 346-355
Persistent link: https://www.econbiz.de/10013275599
Saved in:
3
Risk aversion, fanning preference and
volatility
smirk on S&P 500 index options
Chen, Jian
;
Ma, Chenghu
- In:
Applied economics
48
(
2016
)
34/36
,
pp. 3277-3292
Persistent link: https://www.econbiz.de/10011617231
Saved in:
4
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
Saved in:
5
A Bayesian analysis of time-varying jump risk in S&P 500 returns and options
Carverhill, Andrew
;
Luo, Dan
- In:
Journal of financial markets
64
(
2023
),
pp. 1-21
Persistent link: https://www.econbiz.de/10014466112
Saved in:
6
Information uncertainty and implied volatilities
Hong, Jong-Woon
;
Park, Hyoung-Jin
- In:
Journal of international trade & commerce
15
(
2019
)
2
,
pp. 31-43
Persistent link: https://www.econbiz.de/10012545214
Saved in:
7
Der Preis des Risikos : Optionen und Erwartungen
Del Chicca, Luca
;
Larcher, Gerhard
- In:
Der Preis des Risikos
,
(pp. 50-72)
.
2008
Persistent link: https://www.econbiz.de/10003736460
Saved in:
8
Risk arbitrage opportunities for stock index options
Post, Thierry
;
Rodríguez Longarela, Iñaki
- In:
Operations research
69
(
2021
)
1
,
pp. 100-113
Persistent link: https://www.econbiz.de/10012523428
Saved in:
9
Volatility
and the pricing kernel
Schreindorfer, David
;
Sichert, Tobias
-
2022
-
This draft: January 31, 2022
Persistent link: https://www.econbiz.de/10012816005
Saved in:
10
Crashes,
volatility
, and the equity premium : lessons from S&P 500 options
Santa-Clara, Pedro
;
Yan, Shu
- In:
The review of economics and statistics
92
(
2010
)
2
,
pp. 435-451
Persistent link: https://www.econbiz.de/10008737706
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