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Forecasting implied volatilities for options on index futures : time-series and cross-sectional analysis versus constant elasticity of variance (CEV) model
Tai, Tzu; Lee, Cheng F. - In: Portfolio construction, measurement, and efficiency : …, (pp. 355-387). 2017
Persistent link: https://www.econbiz.de/10011603288
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Does options improve the information absorption? : evidence from the introduction of weekly index options
Jain, Prachi; Kotha, Kiran Kumar - In: International review of finance : the official journal … 22 (2022) 4, pp. 770-776
Persistent link: https://www.econbiz.de/10013472716
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An empirical testing of Black-Scholes option pricing model : a study of option moneyness (at-the-money)
Rinky; Singh, Shakti - In: International Journal of Financial Markets and … 9 (2023) 3, pp. 208-229
Persistent link: https://www.econbiz.de/10015064444
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Hedging strategy comparisons of volatility index options using diffusion models
Lin, Jun-Biao - In: The international journal of business and finance … 9 (2015) 3, pp. 59-69
Persistent link: https://www.econbiz.de/10011285427
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Violations of put-call parity for CNX nifty index options : a study at national stock exchange
Nandan, Tanuj; Agrawal, Puja - In: Global review of business and economic research 10 (2014) 2, pp. 135-152
Persistent link: https://www.econbiz.de/10011343197
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Risk-adjusted implied volatility and its performance in forecasting realized volatility in corn futures prices
Wu, Feng; Myers, Robert J.; Guan, Zhengfei; Wang, Zhiguang - In: Journal of empirical finance 34 (2015), pp. 260-274
Persistent link: https://www.econbiz.de/10011557143
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Differences in trading and pricing between stock and index options
Lemmon, Michael L.; Ni, Sophie Xiaoyan - In: Management science : journal of the Institute for … 60 (2014) 8, pp. 1985-2001
Persistent link: https://www.econbiz.de/10010403590
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The fine structure of equity-index option dynamics
Andersen, Torben; Bondarenko, Oleg; Todorov, Viktor; … - In: Journal of econometrics 187 (2015) 2, pp. 532-546
Persistent link: https://www.econbiz.de/10011499756
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Information content of derivatives under varying market conditions and moneyness : the case of S&P CNX Nifty Index options
Pathak, Rajesh; Bhattacharjee, Kaushik; Reddy, Nagi - In: Global business review 16 (2015) 2, pp. 281-302
Persistent link: https://www.econbiz.de/10011408718
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Hedging Strategy Comparisons of Volatility Index Options Using Diffusion Models
Lin, Jun-Biao - 2016
With the innovation of derivatives, the Standard and Poor's (S&P) 500 index -- as an underlying asset of the volatility …. Since the financial crisis of 2008, the degree of market volatility has increased substantially. In addition, a random …
Persistent link: https://www.econbiz.de/10013003759