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Statistical arbitrage with mean-reverting overnight price gaps on high-frequency data of the S&P 500

Stübinger, Johannes; Schneider, Lucas - In: Journal of risk and financial management : JRFM 12 (2019) 2/51, pp. 1-19

This paper develops a fully-fledged statistical arbitrage strategy based on a mean-reverting jump-diffusion model and applies it to high-frequency data of the S&P 500 constituents from January 1998-December 2015. In particular, the established stock selection and trading framework identifies...

Persistent link: https://www.econbiz.de/10012022240

Option valuation with volatility components, fat tails, and nonmonotonic pricing Kernels

Babaoğlu, Kadir; Christoffersen, Peter F.; Heston, … - In: Review of asset pricing studies 8 (2018) 2, pp. 183-231

Persistent link: https://www.econbiz.de/10012002169

Too good to be true? : an analysis of the options market's reactions to earnings releases

Lu, Yan; Ray, Sugata - In: Journal of business finance & accounting : JBFA 43 (2016) 7/8, pp. 830-848

Persistent link: https://www.econbiz.de/10011627641

Ze-To, Samuel Yau Man - In: Accounting and finance : journal of the Accounting … 56 (2016) 4, pp. 1187-1214

Persistent link: https://www.econbiz.de/10011660377

Price and volatility co-jumps

Bandi, F. M.; Renò, Roberto - In: Journal of financial economics 119 (2016) 1, pp. 107-146

Persistent link: https://www.econbiz.de/10011589735

Bayesian estimation of asymmetric jump-diffusion processes

Frame, Samuel J.; Ramezani, Cyrus A. - In: Annals of financial economics 9 (2014) 3, pp. 1-29

Persistent link: https://www.econbiz.de/10010512597

Option implied volatilities and the cost of issuing equity

Fodor, Andy; Gokkaya, Sinan - In: Journal of banking & finance 47 (2014), pp. 88-101

Persistent link: https://www.econbiz.de/10010506502

Can derivative information predict stock price jumps?

Kwark, Noe-Keol; Kang, Hyoung Goo; Jun, Sang-Gyung - In: The journal of applied business research 31 (2015) 3, pp. 845-860

Persistent link: https://www.econbiz.de/10011304812

A jump and smile ride : jump and variance risk premia in option pricing

Alitab, Dario; Bormetti, Giacomo; Corsi, Fulvio; … - In: Journal of financial econometrics 18 (2020) 1, pp. 121-157

Persistent link: https://www.econbiz.de/10012180409

Earnings announcements and option returns

Chung, Sung Gon; Louis, Henock - In: Journal of empirical finance 40 (2017), pp. 220-235

Persistent link: https://www.econbiz.de/10011745079