Similar Search Results

Spillover effects in managerial compensation

Kieschnick, Robert L.; Shi, Wenyun - In: Journal of empirical finance 70 (2023), pp. 62-73

Persistent link: https://www.econbiz.de/10014423607

Vanilla Equity Options and Greeks Revisited

Wamba, Warren - 2018

Today there are many equity derivatives that are traded on organized and over-the-counter markets. The models that allow market participants to value them and manage the associated risks on a daily basis are numerous. The idea of this study is, for vanilla equity options, to understand the Black...

Persistent link: https://www.econbiz.de/10012916312

The volatility and price sensitivities of managerial stock option portfolios and corporate hedging

Knopf, John Donald; Nam, Jouahn; Thornton, John H. - In: The journal of finance : the journal of the American … 57 (2002) 2, pp. 801-813

Persistent link: https://www.econbiz.de/10001684732

Investor expectations of volatility increases around large stock splits as implied in call option premia

Klein, Linda S.; Peterson, David R. - In: The journal of financial research 11 (1988) 1, pp. 71-80

Persistent link: https://www.econbiz.de/10003602801

Common Factors in Equity Option Returns

Horenstein, Alex R. - 2020

implied and historical volatilities. The fourth factor is the market volatility risk factor proxied by the delta-hedged option …This paper studies the factor structure of the cross-section of delta-hedged equity option returns. We ﬁnd that a four … based factors from the long-short option portfolios based on ﬁrm size, idiosyncratic volatility, and the diﬀerence between …

Persistent link: https://www.econbiz.de/10012850798

Optimal Strategies with Option Compensation Under Mean Reverting Returns or Volatilities

Herzel, Stefano - 2018

We study the problem of a fund manager whose contractual incentive is given by the sum of a constant and a variable term. The manager has a power utility function and the continuous time stochastic processes driving the dynamics of the market prices exhibit mean reversion either in the...

Persistent link: https://www.econbiz.de/10012930916

Assessing models of individual equity option prices

Bakshi, Gurdip S.; Cao, Charles Q.; Zhong, Zhaodong - In: Review of quantitative finance and accounting 57 (2021) 1, pp. 1-28

Persistent link: https://www.econbiz.de/10012549885

Option Momentum

Heston, Steven L.; Li, Shuaiqi - 2021

This paper improves continuous-time variance swap approximation formulas to derive exact returns on benchmark VIX option portfolios. The new methodology preserves the variance swap interpretation that decomposes returns into realized variance and option implied-variance.We apply this new...

Persistent link: https://www.econbiz.de/10013249009

Variation in option implied volatility spread and future stock returns

DeLisle, R. Jared; Diavatopoulos, Dean; Fodor, Andy; … - In: The quarterly review of economics and finance : journal … 83 (2022), pp. 152-160

Persistent link: https://www.econbiz.de/10013258547

Tackling investment risks using equity options during extreme economic upheavals : Indian evidence

Jose, Babu; Varghese, James - In: Colombo business journal : international journal of … 12 (2021) 1, pp. 1-28

Persistent link: https://www.econbiz.de/10012807616

1
2
3
4
5
6
7
8
9
10
Next
Last