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Option prices and risk-neutral densities for currency cross rates

Taylor, Stephen J.; Wang, Yaw-Huei - In: The journal of futures markets 30 (2010) 4, pp. 324-361

Persistent link: https://www.econbiz.de/10008383692

Modeling Stochastic Volatility: A Review and Comparative Study

Taylor, Stephen J. - In: Mathematical finance : an international journal of … 4 (1994) 2, pp. 183-204

Persistent link: https://www.econbiz.de/10008223925

Closed-form transformations from risk-neutral to real-world distributions

Liu, Xiaoquan; Shackleton, Mark B.; Taylor, Stephen J.; … - In: Journal of banking & finance 31 (2007) 5, pp. 1501-1520

Persistent link: https://www.econbiz.de/10007724976

The Euro and European financial market dependence

Bartram, Söhnke M.; Taylor, Stephen J.; Wang, Yaw-Huei - In: Journal of banking & finance 31 (2007) 5, pp. 1461-1482

Persistent link: https://www.econbiz.de/10007724978

Asymmetric and crash effects in stock volatility for the S&P 100 index and its constituents

Blair, Bevan; Poon, Ser-Huang; Taylor, Stephen J. - In: Applied financial economics 12 (2002) 5, pp. 319-330

Persistent link: https://www.econbiz.de/10007664201

Investigating the Information Content of the Model‐Free Volatility Expectation by Monte Carlo Methods

Zhang, Yuanyuan; Taylor, Stephen J.; Wang, Lili - In: The journal of futures markets 33 (2013) 11, pp. 1071-1095

Persistent link: https://www.econbiz.de/10010166172

Information arrivals and intraday exchange rate volatility

Chang, Yuanchen; Taylor, Stephen J. - In: Journal of international financial markets, … 13 (2003) 2, pp. 85-112

Persistent link: https://www.econbiz.de/10007106976

Forecasting S&P 100 volatility: the incremental information content of implied volatilities and high-frequency index returns

Blair, Bevan J.; Poon, Ser-Huang; Taylor, Stephen J. - In: Journal of econometrics 105 (2001) 1, pp. 5-26

Persistent link: https://www.econbiz.de/10006772541

Cross-Sectional Analysis of Risk-Neutral Skewness

Taylor, Stephen J.; Yadav, Pradeep K.; Zhang, Yuanyuan - In: The journal of derivatives : the official publication … 16 (2009) 4, pp. 38-52

Persistent link: https://www.econbiz.de/10008311631

A Descriptive Study of High-Frequency Trade and Quote Option Data

Andersen, Torben G. - 2020

This paper provides a guide to high frequency option trade and quote data disseminated by theOptions Price Reporting Authority (OPRA). We present a comprehensive overview of the U.S. option market, including details on market regulation and the trading processes for all 16 constituent option...

Persistent link: https://www.econbiz.de/10012847927

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