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Jumps in option prices and their determinants : real-time evidence from the E-mini S&P 500 option market

Kapetanios, George; Neumann, Michael; Skiadopoulos, George - 2014

We study the real-time characteristics and drivers of jumps in option prices. To this end, we employ high frequency data from the 24-hour E-mini S&P 500 options market. We find that option prices do not jump simultaneously across strikes and maturities and are uncorrelated with jumps in the...

Persistent link: https://www.econbiz.de/10010472845

On calendar energy options

Li, Lide; Kleindorfer, Paul R. - In: Risk and decision analysis 4 (2013) 4, pp. 225-233

Persistent link: https://www.econbiz.de/10010475802

On the importance of the traders' rules for pricing options : evidence from intraday data

Kim, Sol; Lee, Changjun - In: Asia-Pacific journal of financial studies 43 (2014) 6, pp. 873-894

Persistent link: https://www.econbiz.de/10010476863

Differences in trading and pricing between stock and index options

Lemmon, Michael L.; Ni, Sophie Xiaoyan - In: Management science : journal of the Institute for … 60 (2014) 8, pp. 1985-2001

Persistent link: https://www.econbiz.de/10010403590

Collective behavior and options volatility smile : an agent-based explanation

Liu, Yi-fang; Zhang, Wei; Xu, Hai-chuan - In: Economic modelling 39 (2014), pp. 232-239

Persistent link: https://www.econbiz.de/10010421855

Evaluation of geometric Asian power options under fractional Brownian motion

Mao, Zhijuan; Liang, Zhian - In: Journal of mathematical finance 4 (2014) 1, pp. 1-9

Persistent link: https://www.econbiz.de/10010422095

A study on the prediction of realized volatility of KOSPI 200 index option : pre & post the global financial crisis

Choi, Won Cheol; Park, Sang Beom - In: International journal of economics and finance 6 (2014) 12, pp. 15-26

Persistent link: https://www.econbiz.de/10010460917

Closed-form pricing of two-asset barrier options with stochastic covariance

Götz, Barbara; Escobar, Marcos; Zagst, Rudi - In: Applied mathematical finance 21 (2014) 3/4, pp. 363-397

Persistent link: https://www.econbiz.de/10010499671

Asymptotic solutions for Australian options with low volatility

Ting, Sai Hung Marten; Ewald, Christian-Oliver - In: Applied mathematical finance 21 (2014) 5/6, pp. 595-613

Persistent link: https://www.econbiz.de/10010500870

Implied volatility of leveraged ETF options

Leung, Tim; Sircar, Kaushik Ronnie - In: Applied mathematical finance 22 (2015) 1/2, pp. 162-188

Persistent link: https://www.econbiz.de/10010505139