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Anticipating jumps : Decomposition of straddle price

Chen, Bei; Quan Gan; Vasquez, Aurelio - In: Journal of banking & finance 149 (2023), pp. 1-14

Persistent link: https://www.econbiz.de/10014462382

Essays on interest-rate volatility and the pricing of interest-rate derivative assets

Hanweck, Gerald Alfred - 1994

Persistent link: https://www.econbiz.de/10000916134

Multiple state property options

Paxson, Dean A. - In: The journal of real estate finance and economics 30 (2005) 4, pp. 341-368

Persistent link: https://www.econbiz.de/10002893417

Options trading volume and stock price response to earnings announcements

Truong, Cameron; Corrado, Charles Joseph - In: Review of accounting studies 19 (2014) 1, pp. 161-209

Persistent link: https://www.econbiz.de/10010347393

The effect of option trading on stock price reaction to annual earnings announcements

Lau, Richard T. - In: Advances in quantitative analysis of finance and … 4 (1996), pp. 155-174

Persistent link: https://www.econbiz.de/10001202930

Earnings announcement saliency and option trading

Adams, Tom; Neururer, Thaddeus - In: Review of financial economics : RFE 40 (2022) 1, pp. 44-62

Persistent link: https://www.econbiz.de/10012815920

Asymmetric Uncertainty Around Earnings Announcements Evidence from Options Markets

Agarwalla, Sobhesh Kumar; Saurav, Sumit; Varma, Jayanth Rama - 2022

announcements (EAs). We find that uncertainty (implied volatility) and asymmetric uncertainty (options skew) increase monotonically …

Persistent link: https://www.econbiz.de/10014238511

Using options to measure the full value-effect of an event : application to Obamacare

Borochin, Paul; Golec, Joseph - In: Journal of financial economics 120 (2016) 1, pp. 169-193

Persistent link: https://www.econbiz.de/10011590075

Trading option portfolios using expected profit and expected loss metrics

Venter, Johannes Hendrik; Jongh, Pieter Juriaan de - In: Risks : open access journal 12 (2024) 8, pp. 1-18

decisions are discussed in this paper. On any day, the strategies estimate the drift and volatility parameters of the future … expected profit and expected loss that may be experienced for any portfolio of strikes of the call and put contracts. Expected … profit and expected loss are the reward and risk metrics of such portfolios. An optimal portfolio can then be selected by …

Persistent link: https://www.econbiz.de/10015065879

Do Chinese retail option traders know anything about market volatility?

Liu, Ming-hua; Rangan, Nanda K. - In: Frontiers of business research in China : selected … 6 (2012) 4, pp. 508-526

Persistent link: https://www.econbiz.de/10009688736