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The impacts of index options on the underlying stocks : the case of the S&P 100

Liu, Shinhua - In: The quarterly review of economics and finance : journal … 49 (2009) 3, pp. 1034-1046

Persistent link: https://www.econbiz.de/10003873836

Essays on the efficiency of financial markets

Schlusche, Bernd - 2010

Persistent link: https://www.econbiz.de/10008990314

Option pricing with regime switching tempered stable processes

Lin, Zuodong; Račev, Svetlozar T.; Kim, Young Shin; … - 2012

In this paper we will introduce a hybrid option pricing model that combines the classical tempered stable model and regime switching by a hidden Markov chain. This model allows the description of some stylized phenomena about asset return distributions that are well documented in financial...

Persistent link: https://www.econbiz.de/10009576324

Expiration hour effect of futures and options markets on stock market : a case study on NSE

Bhatt, Rajesh; Maniar, Hiren M.; Maniyar, Dharmesh M. - In: Finance India : the quarterly journal of Indian … 25 (2011) 3, pp. 863-882

Persistent link: https://www.econbiz.de/10009502638

Threshold non-linear dynamics between Hang Seng stock index and futures returns

Chung, Hon-lun; Chan, Wai-Sum; Batten, Jonathan A. - In: The European journal of finance 17 (2011) 7/8, pp. 471-486

Persistent link: https://www.econbiz.de/10009509864

Tails, fears, and risk premia

Bollerslev, Tim; Todorov, Viktor - 2011

Persistent link: https://www.econbiz.de/10009559410

Sources of return in the index futures markets

Zaremba, Adam - In: Contemporary economics 5 (2011) 2, pp. 54-71

The paper concerns an issue of existence of a risk premium in equity and index futures markets. The paper consists of four parts. The first part describes the basic hypotheses of forward curves in the futures market. In the second section, I formulate 5 hypotheses concerning a risk premium in...

Persistent link: https://www.econbiz.de/10009244093

The role of time-varying jump risk premia in pricing stock index options

Yun, Jaeho - In: Journal of empirical finance 18 (2011) 5, pp. 833-846

Persistent link: https://www.econbiz.de/10009492529

Arbitragemöglichkeiten bei fixen Aktien- und Aktienindextermingeschäften : vertieft am Beispiel von DAX-Futures mit unterschiedlicher Laufzeit

Neumann, Kai - 1999

Der Autor analysiert die theoretische und empirische Preisbeziehung zwischen fixen Aktienindexterminkontrakten auf den gleichen Kontraktgegenstand (DAX) mit unterschiedlicher Fälligkeit. Die Untersuchung dieser Beziehung ist von der empirischen Kapitalmarktforschung bislang mit Hinweis auf die...

Persistent link: https://www.econbiz.de/10011401952

Spillover of fear : evidence from the stock markets of five developed countries

Tsai, I-C. - In: International review of financial analysis 33 (2014), pp. 281-288

Persistent link: https://www.econbiz.de/10010520408