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An overreaction implementation of the coherent market hypothesis and option pricing

Schöbel, Rainer (contributor); Veith, Jochen (contributor) - 2006

Inspired by the theory of social imitation (Weidlich 1970) and its adaptation to financial markets by the Coherent Market Hypothesis (Vaga 1990), we present a behavioral model of stock prices that supports the overreaction hypothesis. Using our dynamic stock price model, we develop a two factor...

Persistent link: https://www.econbiz.de/10003636657

Does information drive trading in option strategies?

Fahlenbrach, Rüdiger; Sandås, Patrik - In: Journal of banking & finance 34 (2010) 10, pp. 2370-2385

Persistent link: https://www.econbiz.de/10008857746

Options trading based on the forecasting of volatility direction with the incorporation of investor sentiment

Sheu, Her-Jium; Wei, Yu-Chen - In: Emerging markets finance & trade : a journal of the … 47 (2011) 2, pp. 31-47

Persistent link: https://www.econbiz.de/10009313085

The performance of model based option trading strategies

Eraker, Bjørn - In: Review of derivatives research 16 (2013) 1, pp. 1-23

Persistent link: https://www.econbiz.de/10009729949

An investor sentiment barometer : Greek Implied Volatility Index (GRIV)

Siriopoulos, Costas; Fassas, Athanasios - In: Global finance journal 23 (2012) 2, pp. 77-93

Persistent link: https://www.econbiz.de/10009688746

The optimal total costs for writing a straddle

Hsu, Hsinan; Ho, Emily - In: International journal of business and economics 11 (2012) 1, pp. 13-24

Persistent link: https://www.econbiz.de/10009702432

The options market response to accounting earnings announcements

Truong, Cameron; Corrado, Charles Joseph; Chen, Yangyang - In: Journal of international financial markets, … 22 (2012) 3, pp. 423-450

Persistent link: https://www.econbiz.de/10009623553

Time is money : the power of non-directionally options trading

Given, Kerry W. - 2015

Persistent link: https://www.econbiz.de/10011526486

Volatility forecasts : do volatility estimators and evaluation methods matter?

Jiang, I-Ming; Hung, Jui-Cheng; Wang, Chuan-San - In: The journal of futures markets 34 (2014) 11, pp. 1077-1094

Persistent link: https://www.econbiz.de/10010508678

The information content of option-implied information for volatility forecasting with investor sentiment

Seo, Sung Won; Kim, Jun Sik - In: Journal of banking & finance 50 (2015), pp. 106-120

Persistent link: https://www.econbiz.de/10010509134