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No-arbitrage option pricing : new evidence on the validity of the martingale property
Brenner, Menachem; Eom, Young Ho - 1997
Persistent link: https://www.econbiz.de/10001442896
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A non-parametric option pricing model : theory and empirical evidence
Chen, Ren-Raw; Palmon, Oded - In: Review of quantitative finance and accounting 24 (2005) 2, pp. 115-134
Persistent link: https://www.econbiz.de/10002851785
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Trade imbalances and inventory effects in long-term S&P 500 index options
Bharadwaj, Anu; Wiggins, James B. - In: The financial review : the official publication of the … 38 (2003) 2, pp. 293-309
Persistent link: https://www.econbiz.de/10001794884
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Jump and volatility risk and risk premia : a new model and lessons from S&P 500 options
Santa-Clara, Pedro; Yan, Shu - 2004
Persistent link: https://www.econbiz.de/10002485074
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Market expectations and probability distributions implicit in option prices
McIntyre, Michael; Nitani, Miwako - In: International business and economics research journal 3 (2004) 10, pp. 17-30
Persistent link: https://www.econbiz.de/10002518130
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Index option prices and stock market momentum
Amin, Kaushik I.; Coval, Joshua; Seyhun, H. Nejat - In: The journal of business : B 77 (2004) 4, pp. 835-873
Persistent link: https://www.econbiz.de/10002618315
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Maximum entropy in option pricing : a convex-spline smoothing method
Guo, Weiyu - In: The journal of futures markets 21 (2001) 9, pp. 819-832
Persistent link: https://www.econbiz.de/10001595306
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Dividend forecast biases in index option valuation
Chance, Don M.; Kumar, Raman; Rich, Don R. - In: Review of derivatives research 4 (2000) 3, pp. 285-303
Persistent link: https://www.econbiz.de/10001596722
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The normal inverse gaussian distribution and the pricing of derivatives
Eriksson, Anders; Ghysels, Eric; Wang, Fangfang - In: The journal of derivatives : the official publication … 16 (2008/09) 3, pp. 23-37
Persistent link: https://www.econbiz.de/10003852619
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Understanding index option returns
Broadie, Marc; Chernov, Mikhail; Johannes, Michael - In: The review of financial studies 22 (2009) 11, pp. 4493-4529
Persistent link: https://www.econbiz.de/10003896324