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The eurozone (expected) inflation : an option's eyes view

Gimeno, Ricardo; Ibáñez, Alfredo - In: Journal of international money and finance 86 (2018), pp. 70-92

Persistent link: https://www.econbiz.de/10012000473

Option pricing under time-varying risk-aversion with applications to risk forecasting

Kiesel, Rüdiger; Rahe, Florentin - In: Journal of banking & finance 76 (2017), pp. 120-138

Persistent link: https://www.econbiz.de/10011814247

Risk-adjusted option-implied moments

Brinkmann, Felix; Korn, Olaf - In: Review of derivatives research 21 (2018) 2, pp. 149-173

Persistent link: https://www.econbiz.de/10012055736

Variance premium and implied volatility in a low-liquidity option market

Astorino, Eduardo Sanchez; Chague, Fernando; … - In: Revista brasileira de economia : RBE ; publicação de … 71 (2017) 1, pp. 3-28

Persistent link: https://www.econbiz.de/10011898770

Pricing Kernels and risk Premia implied in bitcoin options

Winkel, Julian; Härdle, Wolfgang - In: Risks : open access journal 11 (2023) 5, pp. 1-18

. The PKs, as the ratio between risk-neutral and physical density, dynamically reflect the change in investor preferences …. Thus, the PKs improve the understanding of investor expectations and risk premiums in a new asset class. Bootstrap …-based confidence bands are estimated in order to validate the results. Investors are heterogeneous in their risk profiles and …

Persistent link: https://www.econbiz.de/10014332072

The VIX, the variance premium and stock market volatility

Bekaert, Geert; Hoerova, Marie - In: Journal of econometrics 183 (2014) 2, pp. 181-192

Persistent link: https://www.econbiz.de/10010506065

Skewness term-structure tests

Lehnert, Thorsten; Lin, Yuehao - In: Applied mathematical finance 23 (2016) 5/6, pp. 484-504

Persistent link: https://www.econbiz.de/10011704272

Framing the default option right

Meunier, Luc; Bashirzadeh, Yashar; Ohadi, Sima - In: Journal of behavioral decision making 37 (2024) 3, pp. 1-23

Persistent link: https://www.econbiz.de/10015154585

Risk hedging in a supply chain : option vs. price discount

Liu, Zhongyi; Chen, Lihua; Li, Ling; Zhai, Xin - In: International journal of production economics 151 (2014), pp. 112-120

Persistent link: https://www.econbiz.de/10010365234

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