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An overreaction implementation of the coherent market hypothesis and option pricing
Schöbel, Rainer (contributor); Veith, Jochen (contributor) - 2006
Inspired by the theory of social imitation (Weidlich 1970) and its adaptation to financial markets by the Coherent Market Hypothesis (Vaga 1990), we present a behavioral model of stock prices that supports the overreaction hypothesis. Using our dynamic stock price model, we develop a two factor...
Persistent link: https://www.econbiz.de/10003636657
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Implied volatility and investor beliefs in experimental asset markets
Ackert, Lucy F.; Kluger, Brian D.; Qi, Li - In: Journal of financial markets 43 (2019), pp. 121-136
Persistent link: https://www.econbiz.de/10012316306
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Net buying pressure and the information in bitcoin option trades
Alexander, Carol; Deng, Jun; Feng, Jianfen; Wan, Huning - In: Journal of financial markets 63 (2023), pp. 1-18
Persistent link: https://www.econbiz.de/10014278620
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Fundamentals of futures and options markets
Hull, John - 2011 - 7. ed., global ed.
Persistent link: https://www.econbiz.de/10003959819
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Fundamentals of futures and options markets
Hull, John - 2017 - Ninth edition
Persistent link: https://www.econbiz.de/10011377944
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Information and frictions in financial markets
Eberbach, Jelena - 2022
Persistent link: https://www.econbiz.de/10012821059
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Derivatives : Theory and Practice of Trading, Valuation, and Risk Management
Witzany, Jiří. - 2020 - 1st ed. 2020.
-- Exotic Options, Volatility Smile, and Alternative Stochastic Models. … will also find a detailed treatment of counterparty credit risk, stochastic volatility estimation methods such as MCMC and … Particle Filters, and the concepts of model-free volatility, VIX index definition and the related volatility trading. The book …
Persistent link: https://www.econbiz.de/10012399932
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Derivatives : theory and practice of trading, valuation, and risk management
Witzany, Jiří - 2020
Persistent link: https://www.econbiz.de/10012265901
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Interdependenzen am Finanzmarkt : eine modellgestützte Untersuchung der Preisbeziehung korrespondierender Finanztitel
Klee, Christina - 2015
Persistent link: https://www.econbiz.de/10010510822