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Leveraged ETF options implied volatility paradox : a statistical study

Härdle, Wolfgang; Nasekin, Sergey; Hong, Zhiwu - 2016

, even after moneyness scaling has been performed. This presents possible arbitrage opportunities on the (L)ETF market which … can be exploited by traders. We build possible arbitrage strategies by constructing portfolios with LETF shares and …

Persistent link: https://www.econbiz.de/10011437891

R 2 and idiosyncratic risk are not interchangeable

Li, Bin; Rajgopal, Shivaram; Venkatachalam, Mohan - In: The accounting review : a publication of the American … 89 (2014) 6, pp. 2261-2295

Persistent link: https://www.econbiz.de/10010469131

Idiosyncratic risk and when to tilt toward value

Fink, Jason D.; Fink, Kristin E. - In: Journal of investment management : JOIM 19 (2021) 1, pp. 76-89

Persistent link: https://www.econbiz.de/10012814367

Pricing options with vanishing stochastic volatility

Mastroeni, Loretta - In: Risks : open access journal 10 (2022) 9, pp. 1-16

in discrete space and continuous time. The market described allows fleeting arbitrage opportunities, since a vanishing …

Persistent link: https://www.econbiz.de/10013368982

Pricing options with vanishing stochastic volatility

Mastroeni, Loretta - In: Risks : open access journal 10 (2022) 9, pp. 1-16

in discrete space and continuous time. The market described allows fleeting arbitrage opportunities, since a vanishing …

Persistent link: https://www.econbiz.de/10013473177

A study of Bitcoin-based intraday volatility forecasting for cross-market spreads

Yang, Longguang; Hou, Fengshuang; Shi, Huihong - In: Emerging markets, finance & trade : a journal of the … 59 (2023) 14, pp. 3941-3951

Persistent link: https://www.econbiz.de/10014419375

Possibilidade de arbitragem no mercado de câmbio brasileiro

Cassuce, Francisco Carlos da Cunha; Muller, Carlos … - 2006

expirations of future contracts, identifying, thus, the chance to get profits with arbitrage. The results had shown more that the …, it is detected possibility to get profits with arbitrage in the market of Brazilian exchange. …

Persistent link: https://www.econbiz.de/10009446489