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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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Option Momentum
Heston, Steven L.; Li, Shuaiqi - 2021
This paper improves continuous-time variance swap approximation formulas to derive exact returns on benchmark VIX option portfolios. The new methodology preserves the variance swap interpretation that decomposes returns into realized variance and option implied-variance.We apply this new...
Persistent link: https://www.econbiz.de/10013249009
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Testing momentum effectfor the US market : from equity to option strategies
Siri, Julián R.; Serur, Juan A.; Dapena, José P. - 2017
Conventional financial theory considers ex-ante that risk, generally measured by the volatility, has to be …
Persistent link: https://www.econbiz.de/10011757486
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Early exercise, implied volatility spread and future stock return : jumps bind them all
Garrett, Ian; Gazi, Adnan - In: The journal of futures markets 44 (2024) 5, pp. 720-743
Persistent link: https://www.econbiz.de/10014536677
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Option momentum
Heston, Steven L.; Jones, Christopher S.; Khorram, Mehdi; … - In: The journal of finance : the journal of the American … 78 (2023) 6, pp. 3141-3192
Persistent link: https://www.econbiz.de/10014437686
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Option Momentum
Heston, Steven L.; Jones, Christopher S.; Khorram, Mehdi; … - 2022
volatility and other characteristics. Across stocks, trading costs are unrelated to the magnitude of momentum profits …
Persistent link: https://www.econbiz.de/10013406104
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Implied volatility in the individual stocks call options market : evidence from Malaysia
Azhar Mohamad; Muhammad Rizky Prima Sakti - In: Afro-Asian Journal of Finance and Accounting : AAJFA 8 (2018) 4, pp. 431-456
Persistent link: https://www.econbiz.de/10011978856
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Quality Issues of Implied Volatilities of Index and Stock Options in the OptionMetrics IvyDB Database
Wallmeier, Martin - 2022
16:00) generally increases the variability of implied volatility spreads between puts and calls. In addition, it results … in considerable distortions at the outbreak of the COVID-19 pandemic and strongly affects aggregate implied volatility …
Persistent link: https://www.econbiz.de/10013296293
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The information content of implied skewness and kurtosis changes prior to earnings announcements for stock and option returns
Diavatopoulos, Dean; Doran, James S.; Fodor, Andy; … - In: Journal of banking & finance 36 (2012) 3, pp. 786-802
Persistent link: https://www.econbiz.de/10009540475
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The options market reaction to bank loan announcements
Anagnostopoulou, Seraina C.; Ferentinou, Aikaterini C.; … - In: Journal of financial services research : JFSR 53 (2018) 1, pp. 99-139
Persistent link: https://www.econbiz.de/10012023932