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Spanning tests for options using principal components methods
Hansen, Charlotte S.; Tuypens, Bjorn E. - In: Applied financial economics 17 (2007) 7/9, pp. 739-746
Persistent link: https://www.econbiz.de/10003491227
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Mispricing of S&P 500 index options
Kōnstantinidēs, Giōrgos; Jackwerth, Jens Carsten; … - 2008
Persistent link: https://www.econbiz.de/10003791478
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Mispricing of S&P 500 index options
Kōnstantinidēs, Giōrgos; Jackwerth, Jens Carsten; … - In: The review of financial studies 22 (2009) 3, pp. 1247-1277
Persistent link: https://www.econbiz.de/10003827736
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Mispricing of S&P 500 index options
Kōnstantinidēs, Giōrgos (contributor);  … - 2005
incidence of violations by OTM than by ITM calls, contradicting the common inference drawn from the observed implied volatility … options being either underpriced over 1988-1995, or overpriced over 1997-2002. -- Derivative pricing ; volatility smile …
Persistent link: https://www.econbiz.de/10003222135
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A moments and strike matching binominal algorithm for pricing American put options
Jourdain, Benjamin; Zanette, Antonino - In: Decisions in economics and finance : DEF ; a journal of … 31 (2008) 1, pp. 33-49
Persistent link: https://www.econbiz.de/10003771585
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Some evidence in the trading and pricing of equity LEAPS
Guo, Weiyu - In: International review of economics & finance : IREF 13 (2004) 4, pp. 407-426
Persistent link: https://www.econbiz.de/10002222904
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Option pricing under stochastic volatility and trading volume
Ono, Sadayuki (contributor) - 2007
Persistent link: https://www.econbiz.de/10003428523
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Is there information in the volatility skew?
Doran, James S.; Peterson, David R.; Tarrant, Brian C. - In: The journal of futures markets 27 (2007) 10, pp. 921-959
Persistent link: https://www.econbiz.de/10003531001
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Psychological barriers and option pricing
Jang, Bong-Gyu; Kim, Changki; Kim, Kyeong Tae; Lee, Seungkyu - In: The journal of futures markets 35 (2015) 1, pp. 52-74
Persistent link: https://www.econbiz.de/10011346173
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Interpreting the volatility smile : an examination of the information content of option prices
Weinberg, Steven A. - 2001
Persistent link: https://www.econbiz.de/10001599795