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Early exercise decision in American options with dividends, stochastic volatility and jumps
Cosma, Antonio; Galluccio, Stefano; Pederzoli, Paola; … - 2016
volatility and jumps instead of the Black-Scholes-Merton benchmark cuts by a quarter the amount lost by investors through …
Persistent link: https://www.econbiz.de/10011625896
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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
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Accounting for earnings announcements in the pricing of equity options
Leung, Tim; Santoli, Marco - In: Journal of financial engineering 1 (2014) 4, pp. 1-46
Persistent link: https://www.econbiz.de/10010508746
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Non-diversifiable volatility risk and risk premiums at earnings announcements
Barth, Mary E.; So, Eric - In: The accounting review : a publication of the American … 89 (2014) 5, pp. 1579-1607
Persistent link: https://www.econbiz.de/10010428728
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Impact of macroeconomic announcements on implied volatility slope of SPX options and VIX
Onan, Mustafa; Altay-Salih, Aslihan; Yasar, Burze - In: Finance research letters 11 (2014) 4, pp. 454-462
Persistent link: https://www.econbiz.de/10011300430
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The delta- and vega-related information content of near-the-money option market trading activity
Rourke, Thomas - In: Journal of financial markets 20 (2014), pp. 175-193
Persistent link: https://www.econbiz.de/10010442379
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Pricing individual stock options using both stock and market index information
Rombouts, Jeroen V. K.; Stentoft, Lars; Violante, Francesco - In: Journal of banking & finance 111 (2020), pp. 1-16
Persistent link: https://www.econbiz.de/10012221075
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Lead-lag relationship between returns and implied moments : evidence from KOSPI 200 intraday options data
Kim, Sol; Lee, Geul - In: Review of Pacific Basin financial markets and policies 20 (2017) 3, pp. 1-20
Persistent link: https://www.econbiz.de/10011752436
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Stock price simulation using bootstrap and Monte Carlo
Pažický, Martin - In: Scientific Annals of Economics and Business 64 (2017) 2, pp. 155-170
Persistent link: https://www.econbiz.de/10011865983
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Variance premium and implied volatility in a low-liquidity option market
Astorino, Eduardo Sanchez; Chague, Fernando; … - In: Revista brasileira de economia : RBE ; publicação de … 71 (2017) 1, pp. 3-28
Persistent link: https://www.econbiz.de/10011898770