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Option smiling when investors' estimates of asset volatility disagree

Lin, Chien-chih - In: Applied economics 46 (2014) 31/33, pp. 3812-3827

Persistent link: https://www.econbiz.de/10010419898

Rare disasters, credit, and option market puzzles

Christoffersen, Peter F.; Du, Du; Elkamhi, Redouane - In: Management science : journal of the Institute for … 63 (2017) 5, pp. 1341-1364

Persistent link: https://www.econbiz.de/10011684726

Asymmetry in the price impact of trades in an high-frequency microstructure model with jumps

Jondeau, Eric; Lahaye, Jérôme; Rockinger, Michael - 2013

We estimate a general microstructure model of the transitory and permanent impact of order flow on stock prices. Jumps are detected in both the transaction price (observation equation) and fundamental value (state equation). The model's parameters and variances are updated in real time. Prices...

Persistent link: https://www.econbiz.de/10010256970

At least-squares approach for estimating the volatility implied by option premia : overcoming smiles and frowns

Kensinger, John W. - In: Research in finance 31 (2015), pp. 173-185

Persistent link: https://www.econbiz.de/10011347423

A study of relevance of Black-Scholes model on option prices of Indian stock market

Srivastava, Anubha; Shastri, Manjula - In: International journal of governance and financial … 1 (2018) 1, pp. 82-104

Persistent link: https://www.econbiz.de/10012253558

Simplified option pricing techniques

Alghalith, Moawia; Floros, Christos; Poufinas, Thomas - In: Annals of financial economics 14 (2019) 1, pp. 1-19

Persistent link: https://www.econbiz.de/10012015473

Taylor expansion for derivative securities pricing as a precondition for strategic market decisions

Burtnyak, Ivan; Malytska, Anna - In: Problems and perspectives in management : PPM ; … 16 (2018) 1, pp. 224-231

Persistent link: https://www.econbiz.de/10011958357

Option pricing via breakeven volatility

Hull, Blair; Li, Anlong; Qiao, Xiao - In: Financial analysts journal : FAJ 79 (2023) 1, pp. 99-119

Persistent link: https://www.econbiz.de/10013540890

Does options improve the information absorption? : evidence from the introduction of weekly index options

Jain, Prachi; Kotha, Kiran Kumar - In: International review of finance : the official journal … 22 (2022) 4, pp. 770-776

Persistent link: https://www.econbiz.de/10013472716

The information content of the volatility index options trading volume

Gu, Chen; Guo, Xu; Kurov, Alexander; Stan, Raluca - In: The journal of futures markets 42 (2022) 9, pp. 1721-1737

Persistent link: https://www.econbiz.de/10013465809

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