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Leverage, volatility and executive stock options
Choe, Chongwoo - 2001
Persistent link: https://www.econbiz.de/10001660567
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Are banks happy when managers go long? : the information content of managers' vested option holdings for loan pricing
Dezsö, Cristian L.; Ross, David Gaddis - In: Journal of financial economics 106 (2012) 2, pp. 395-410
Persistent link: https://www.econbiz.de/10009666527
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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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Implied volatility and skewness surface
Feunou, Bruno; Fontaine, Jean-Sébastien; Tédongap, Roméo - In: Review of derivatives research 20 (2017) 2, pp. 167-202
Persistent link: https://www.econbiz.de/10011935979
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Differences in options investors' expectations and the cross-section of stock returns
Andreou, Panayiotis C.; Kagkadis, Anastasios; Philip, Dennis - In: Journal of banking & finance 94 (2018), pp. 315-336
Persistent link: https://www.econbiz.de/10011966661
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Option implied beta and option return
Ze-To, Samuel Yau Man - In: Applied economics 50 (2018) 2, pp. 128-142
Persistent link: https://www.econbiz.de/10011845923
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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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Optimal Strategies with Option Compensation Under Mean Reverting Returns or Volatilities
Herzel, Stefano - 2018
We study the problem of a fund manager whose contractual incentive is given by the sum of a constant and a variable term. The manager has a power utility function and the continuous time stochastic processes driving the dynamics of the market prices exhibit mean reversion either in the...
Persistent link: https://www.econbiz.de/10012930916
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Tackling investment risks using equity options during extreme economic upheavals : Indian evidence
Jose, Babu; Varghese, James - In: Colombo business journal : international journal of … 12 (2021) 1, pp. 1-28
Persistent link: https://www.econbiz.de/10012807616