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The evolution of market share among the U.S. options market platforms

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Persistent link: https://www.econbiz.de/10011792308

Credit rating agencies, information asymmetry and US bond liquidity

Lovo, Stefano M.; Raimbourg, Philippe; Salvadè, Federica - 2022

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Credit rating agencies, information asymmetry and US bond liquidity

Lovo, Stefano M.; Raimbourg, Philippe; Salvadè, Federica - In: Journal of business finance & accounting : JBFA 49 (2022) 9/10, pp. 1863-1896

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Option smiling when investors' estimates of asset volatility disagree

Lin, Chien-chih - In: Applied economics 46 (2014) 31/33, pp. 3812-3827

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Rare disasters, credit, and option market puzzles

Christoffersen, Peter F.; Du, Du; Elkamhi, Redouane - In: Management science : journal of the Institute for … 63 (2017) 5, pp. 1341-1364

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Uncertainty, market structure, and liquidity

Chung, Kee H.; Chuwonganant, Chairat - In: Journal of financial economics 113 (2014) 3, pp. 476-499

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Is Aggregate Idiosyncratic Risk Priced? Follow the Bid-Ask Bounce

Lesmond, David A. - 2015

aggregate firm-level risk embodied by the stock return variance estimates of Goyal and Santa-Clara (2003). Controlling for this …. Market microstructure also explains the time-trend of aggregate firm-level volatility observed from 1962 to 1997 (Campbell …, Lettau, Malkiel, and Xu, 2001), and subsumes any relation between retail trading and future idiosyncratic volatility from …

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A marked point process model for intraday financial returns : modeling extreme risk

Herrera, Rodrigo; Clements, Adam - In: Empirical economics : a journal of the Institute for … 58 (2020) 4, pp. 1575-1601

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Optionsbewertung mit stochastischer Volatilität : Implementation des Heston-Modells

Muck, Matthias; Rudolf, Markus - In: Wirtschaftswissenschaftliches Studium : WiSt ; … 35 (2006) 6, pp. 325-330

Persistent link: https://www.econbiz.de/10003324884

Static hedging of barrier options under general asset dynamics : unification and application

Nalholm, Morten; Poulsen, Rolf - In: The journal of derivatives : the official publication … 13 (2006) 4, pp. 46-60

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