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The joint cross section of stocks and options

An, Byeong-Je; Ang, Andrew; Bali, Turan G.; Cakici, Nusret - In: The journal of finance : the journal of the American … 69 (2014) 5, pp. 2279-2337

Persistent link: https://www.econbiz.de/10010489666

The model-free measures and the volatility spread

Chen, Jian; Liu, Xiaoquan - In: Applied economics letters 17 (2010) 16/18, pp. 1829-1833

Persistent link: https://www.econbiz.de/10009232136

The New Zealand Implied Volatility Index

Frijns, Bart; Tourani Rad, Alireza; Zhang, Yajie - In: New Zealand economic papers 42 (2008) 1/2, pp. 103-125

Persistent link: https://www.econbiz.de/10008934514

Option prices and model-free measurement of implied herd behavior in stock markets

Linders, Daniël; Dhaene, Jan; Schoutens, Wim - 2015 - This version: December 20, 2014

In this paper, we introduce two classes of indices which can be used to measure the market perception concerning the degree of dependency that exists between a set of random variables, representing different stock prices at a fixed future date. The construction of these measures is based on the...

Persistent link: https://www.econbiz.de/10010464790