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Excess volatility : beyond discount rates
Giglio, Stefano; Kelly, Bryan T. - 2016
Persistent link: https://www.econbiz.de/10011451780
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Excess volatility : beyond discount rates
Giglio, Stefano; Kelly, Bryan T. - In: The quarterly journal of economics 133 (2018) 1, pp. 71-127
Persistent link: https://www.econbiz.de/10012036812
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The pricing of jump propagation : evidence from spot and options markets
Du, Du; Luo, Dan - In: Management science : journal of the Institute for … 65 (2019) 5, pp. 2360-2387
Persistent link: https://www.econbiz.de/10012039789
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Implied volatility in the individual stocks call options market : evidence from Malaysia
Azhar Mohamad; Muhammad Rizky Prima Sakti - In: Afro-Asian Journal of Finance and Accounting : AAJFA 8 (2018) 4, pp. 431-456
Persistent link: https://www.econbiz.de/10011978856
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The options market reaction to bank loan announcements
Anagnostopoulou, Seraina C.; Ferentinou, Aikaterini C.; … - In: Journal of financial services research : JFSR 53 (2018) 1, pp. 99-139
Persistent link: https://www.econbiz.de/10012023932
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Has the VIX index been manipulated?
Saha, Atanu; Malkiel, Burton G.; Rinaudo, Alex - In: The journal of asset management 20 (2019) 1, pp. 1-14
Persistent link: https://www.econbiz.de/10012059727
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Quantification of feedback effects in FX options markets
Anderegg, Benjamin; Sornette, Didier; Ulmann, Florian … - 2019
Persistent link: https://www.econbiz.de/10012026522
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Volatility risk premium in Indian options prices
Garg, Sonia; Vipul - In: The journal of futures markets 35 (2015) 9, pp. 795-812
Persistent link: https://www.econbiz.de/10011392659
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Early exercise decision in American options with dividends, stochastic volatility and jumps
Cosma, Antonio; Galluccio, Stefano; Pederzoli, Paola; … - 2016
American call options on dividend-paying stocks listed on the Dow Jones. The correct modelling of the discrete dividend is … volatility and jumps instead of the Black-Scholes-Merton benchmark cuts by a quarter the amount lost by investors through …
Persistent link: https://www.econbiz.de/10011625896
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Options and higher-order risk premiums
Xiao, Xiao - 2017
Persistent link: https://www.econbiz.de/10011606865