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The impact of COVID-19 on tail risk : evidence from Nifty index options
Agarwalla, Sobhesh Kumar; Varma, Jayanth Rama; Virmani, … - In: Economics letters 204 (2021), pp. 1-4
Persistent link: https://www.econbiz.de/10012607446
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Retrieving the implicit risk neutral density of WTI options with a semi-nonparametric approach
Cortés, Lina M.; Mora-Valencia, Andrés; Perote, Javier - In: The North American journal of economics and finance : a … 54 (2020), pp. 1-15
Persistent link: https://www.econbiz.de/10012666975
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Firm-specific risk-neutral distributions with options and CDS
Aramonte, Sirio; Jahan-Parvar, Mohammad R.; Rosen, Samuel; … - 2021
Persistent link: https://www.econbiz.de/10012483801
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Option-implied information : what’s the vol surface got to do with it?
Ulrich, Maxim; Walther, Simon - In: Review of derivatives research 23 (2020) 3, pp. 323-355
Persistent link: https://www.econbiz.de/10012303253
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The use of option prices to assess the skewness risk premium
Elyasiani, Elyas; Gambarelli, Luca; Muzzioli, Silvia - In: Applied economics 52 (2020) 55, pp. 6057-6074
Persistent link: https://www.econbiz.de/10012308429
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Too good to be true? : an analysis of the options market's reactions to earnings releases
Lu, Yan; Ray, Sugata - In: Journal of business finance & accounting : JBFA 43 (2016) 7/8, pp. 830-848
Persistent link: https://www.econbiz.de/10011627641
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Pricing of catastrophe risk and the implied volatility smile
Ben Ammar, Semir - 2016
Persistent link: https://www.econbiz.de/10011686900
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Test of recent advances in extracting information from option prices
Healy, J. V.; Gregoriou, Andros; Hudson, Robert - In: International review of financial analysis 56 (2018), pp. 292-302
Persistent link: https://www.econbiz.de/10012006295
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On the nature of (jump) skewness risk premia
Orłowski, Piotr; Schneider, Paul; Trojani, Fabio - In: Management science : journal of the Institute for … 70 (2024) 2, pp. 1154-1174
Persistent link: https://www.econbiz.de/10014513916
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Cross-sectional variation of option-implied volatility skew
Wu, Liuren; Tian, Meng - In: Management science : journal of the Institute for … 70 (2024) 6, pp. 3566-3580
Persistent link: https://www.econbiz.de/10014551903