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Volatility information in the trading activity of stocks, options, and volatility options
Wang, Yaw-huei - In: The journal of futures markets 33 (2013) 8, pp. 752-773
Persistent link: https://www.econbiz.de/10009779086
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Arbitrage-free implied volatility surfaces for options on single stock futures
Kotzé, Antonie; Labuschagne, Coenraad C. A.; Nair, … - In: The North American journal of economics and finance : a … 26 (2013), pp. 380-399
Persistent link: https://www.econbiz.de/10010367577
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Investor expectations of volatility increases around large stock splits as implied in call option premia
Klein, Linda S.; Peterson, David R. - In: The journal of financial research 11 (1988) 1, pp. 71-80
Persistent link: https://www.econbiz.de/10003602801
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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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Implied volatility surfaces : a comprehensive analysis using half a billion option prices
Ulrich, Maxim; Zimmer, Lukas; Merbecks, Constantin - In: Review of derivatives research 26 (2023) 2/3, pp. 135-169
Persistent link: https://www.econbiz.de/10014423871
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Consistent Pricing of Options on ETFs and Options on Inverse ETFs
Courtadon, Georges - 2018
Given the growth of the inverse ETF markets, exchanges have begun to trade options on inverse ETFs, similar to the trading of options on regular ETFs. Since both regular and inverse ETFs on the same index trade the same underlying risk, the pricing of options on regular ETFs and the pricing of...
Persistent link: https://www.econbiz.de/10012919547
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Dispersion trading : an empirical analysis on the S&P 100 options
Ferrari, Pierpaolo; Poy, Gabriele; Abate, Guido - In: Investment management and financial innovations 16 (2019) 1, pp. 178-188
Persistent link: https://www.econbiz.de/10012056045
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Does the Introduction of One Derivative Affect Another Derivative? The Effect of Credit Default Swaps Trading on Equity Options
Cao, Jie - 2019
dealers' intermediation capacity and supportive of the intermediary asset pricing theory …
Persistent link: https://www.econbiz.de/10012899616
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Arbitrage-Free Implied Volatility Surfaces for Options on Single Stock Futures
Kotze, Antonie - 2013
The current method employed by the Johannesburg Stock Exchange (JSE) to determine implied volatility is based on trade … volatility surface, by using a quadratic deterministic function, for two stock indices and ten single stock futures (SSFs …
Persistent link: https://www.econbiz.de/10013088849
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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