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Testing momentum effectfor the US market : from equity to option strategies
Siri, Julián R.; Serur, Juan A.; Dapena, José P. - 2017
Conventional financial theory considers ex-ante that risk, generally measured by the volatility, has to be …
Persistent link: https://www.econbiz.de/10011757486
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Sharing RD risk in healthcare via FDA hedges
Jørring, Adam; Lo, Andrew W.; Philipson, Tomas J.; … - 2017 - This draft: 28 March 2017
The high cost of capital for firms conducting medical research and development (R&D) has been partly attributed to the government risk facing investors in medical innovation. This risk slows down medical innovation because investors must be compensated for it. We propose new and simple financial...
Persistent link: https://www.econbiz.de/10011749446
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The Only Constant Is Change : Non-constant Volatility and Implied Volatility Spreads
Campbell, T. Colin; Gallmeyer, Michael F.; Petkevich, Alex - 2022
We examine the predictability of stock returns using implied volatility spreads (VS) from individual (non …-index) options. Volatility spreads can occur under simple no-arbitrage conditions for American options when volatility is time …-varying, suggesting that the VS-return predictability could be an artifact of firms’ sensitivities to aggregate volatility. Examining this …
Persistent link: https://www.econbiz.de/10014236536
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Internet Appendix to the Only Constant is Change : Non-Constant Volatility and Implied Volatility Spreads
Campbell, T. Colin; Gallmeyer, Michael F.; Petkevich, Alex - 2023
We examine the predictability of stock returns using implied volatility spreads (VS) from individual (non …-index) options. Volatility spreads can occur under simple no-arbitrage conditions for American options when volatility is time …-varying, suggesting that the VS-return predictability could be an artifact of firms’ sensitivities to aggregate volatility. Examining this …
Persistent link: https://www.econbiz.de/10014254172
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The compatibility of one-factor market models in caps and swaptions markets : evidence from their dynamic hedging performance
An, Yunbi; Suo, Wulin - In: The journal of futures markets 28 (2008) 2, pp. 109-130
Persistent link: https://www.econbiz.de/10003647668
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Model risk adjusted hedge ratios
Alexander, Carol; Kaeck, Andreas; Nogueira, Leonardo M. - In: The journal of futures markets 29 (2009) 11, pp. 1021-1049
Persistent link: https://www.econbiz.de/10003900965
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Option markets and implied volatility : past versus present
Mixon, Scott - In: Journal of financial economics 94 (2009) 2, pp. 171-191
Persistent link: https://www.econbiz.de/10003906341
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Intermediate volatility forecasts using implied forward volatility : the performance of selected agricultural commodity options
Egelkraut, Thorsten Michael; García, Philip - In: Journal of agricultural and resource economics : JARE ; … 31 (2006) 3, pp. 508-528
Persistent link: https://www.econbiz.de/10003416262
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The volatility edge in options trading : new technical strategies for investing in unstable markets
Augen, Jeff - 2008
Persistent link: https://www.econbiz.de/10003479607
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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