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Option prices and model-free measurement of implied herd behavior in stock markets
Linders, Daniël; Dhaene, Jan; Schoutens, Wim - In: International journal of financial engineering 2 (2015) 2, pp. 1-35
Persistent link: https://www.econbiz.de/10011333475
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Option Prices and Model-free Measurement of Implied Herd Behavior in Stock Markets
Linders, Daniël; Dhaene, Jan; Schoutens, Wim - 2015
. The construction of these measures is based on the theory of comonotonicity. Both types of herd behavior indices are model …
Persistent link: https://www.econbiz.de/10010491388
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Option Prices and Model-free Measurement of Implied Herd Behavior in Stock Markets
Linders, Daniël; Dhaene, Jan; Schoutens, Wim - Tinbergen Instituut - 2015
. The construction of these measures is based on the theory of comonotonicity. Both types of herd behavior indices are model …
Persistent link: https://www.econbiz.de/10011256168
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The Effect of Stock Market Indexing on Option Price Efficiency
Chang, Eric C.; Ge, Li; Lin, Tse-Chun; Ma, Xiaorong - 2023
Using local linear regressions based on Russell index reconstitution, we examine how option price efficiency is affected by stock market indexing. We find that put-call parity deviation, a proxy for options price efficiency, is significantly smaller if a stock is at the top of the Russell 2000...
Persistent link: https://www.econbiz.de/10014350633
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Is There Price Discovery in Equity Options?
Muravyev, Dmitriy - 2012
This paper presents direct evidence that option price quotes do not contain any information about future stock prices beyond what is already reflected in current stock prices. We use trade and quote data for 39 liquid U.S. stocks and ETFs and options on them, and focus on events when the two...
Persistent link: https://www.econbiz.de/10013115657
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Positive stock information in out-of-the-money option prices
Gkionis, Konstantinos; Kostakis, Alexandros; … - 2018
We examine whether the option market leads the stock market with respect to positive in addition to negative price discovery. We document that out-of-themoney (OTM) option prices, which determine the Risk-Neutral Skewness (RNS) of the underlying stock return's distribution, can embed positive...
Persistent link: https://www.econbiz.de/10011872403
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Quality Issues of Implied Volatilities of Index and Stock Options in the OptionMetrics IvyDB Database
Wallmeier, Martin - 2022
16:00) generally increases the variability of implied volatility spreads between puts and calls. In addition, it results … in considerable distortions at the outbreak of the COVID-19 pandemic and strongly affects aggregate implied volatility …
Persistent link: https://www.econbiz.de/10013296293
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Does Risk-Neutral Skewness Predict the Cross-Section of Equity Option Portfolio Returns?
Bali, Turan G. - 2012
exposure to changes in the price of the underlying stock (delta), and exposure to changes in implied volatility (vega) are …-known market, size, book-to-market, momentum, and short-term reversal factors. Additional volatility, stock, and option market …
Persistent link: https://www.econbiz.de/10013111682
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Does Risk-Neutral Skewness Predict the Cross-Section of Equity Option Portfolio Returns?
Bali, Turan G. - 2013
exposure to changes in the underlying stock price (delta), and exposure to changes in implied volatility (vega) are removed …-to-market, momentum, short-term reversal, volatility, or option market factors …
Persistent link: https://www.econbiz.de/10013094978
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The Skew Pattern of Implied Volatility in the DAX Index Options Market
Muzzioli, Silvia - 2012
The aim of this paper is twofold: to investigate how the information content of implied volatility varies according to … moneyness and option type and to compare option-based forecasts with historical volatility. The different information content of … implied volatility is examined for the most liquid at-the-money and out-of-the-money options: put (call) options for strikes …
Persistent link: https://www.econbiz.de/10013110064