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Learning and forecasts about option returns through the volatility risk premium
Bernales, Alejandro; Chen, Louisa; Valenzuela, Marcela - In: Journal of economic dynamics & control 82 (2017), pp. 312-330
Persistent link: https://www.econbiz.de/10011915574
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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 writing : using VIX to improve returns
Malkiel, Burton G.; Rinaudo, Alex; Saha, Atanu - In: The journal of derivatives : the official publication … 26 (2018) 2, pp. 38-49
Persistent link: https://www.econbiz.de/10011968697
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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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The instantaneous return and volatility of a covered call position
Edwards, Craig Steven - In: Applied economics letters 22 (2015) 13/15, pp. 1059-1063
Persistent link: https://www.econbiz.de/10011312207
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Stock return dynamics, option volume, and the information content of implied volatility
Mayhew, Stewart; Stivers, Christopher T. - In: The journal of futures markets 23 (2002) 7, pp. 615-646
Persistent link: https://www.econbiz.de/10001769715
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Using implied volatility on options to measure the relation between asset returns and variability
Davidson, Wallace Norman (contributor) - In: Journal of banking & finance 25 (2001) 7, pp. 1245-1269
Persistent link: https://www.econbiz.de/10001586887
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Essays in financial economics
Graveline, Jeremy J. - 2006
Persistent link: https://www.econbiz.de/10003965315
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A tale of two regimes : theory and empirical evidence for a Markov-modulated jump diffusion model of equity returns and derivative pricing implications
Chang, Charles; Fuh, Cheng-der; Lin, Shih-kuei - In: Journal of banking & finance 37 (2013) 8, pp. 3204-3217
Persistent link: https://www.econbiz.de/10009778451