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The use of option prices to as...
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Showing
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date (oldest first)
1
On the nature of (jump) skewness
risk
premia
Orłowski, Piotr
;
Schneider, Paul
;
Trojani, Fabio
- In:
Management science : journal of the Institute for …
70
(
2024
)
2
,
pp. 1154-1174
Persistent link: https://www.econbiz.de/10014513916
Saved in:
2
Estimating probability distributions of future asset prices : empirical transformations from option-implied
risk
-neutral to real-world density functions
Vincent-Humphreys, Rupert de
;
Noss, Joseph
-
2012
Persistent link: https://www.econbiz.de/10009559811
Saved in:
3
A time-varying jump tail
risk
measure using high-frequency options data
Ubukata, Masato
- In:
Empirical economics : a quarterly journal of the …
63
(
2022
)
5
,
pp. 2633-2653
Persistent link: https://www.econbiz.de/10013440507
Saved in:
4
Firm-specific
risk
-neutral distributions with options and CDS
Aramonte, Sirio
;
Jahan-Parvar, Mohammad R.
;
Rosen, Samuel
; …
-
2021
Persistent link: https://www.econbiz.de/10012483801
Saved in:
5
Abnormal returns,
risk
, and options in large data sets
Caserta, Silvia
;
Daníelsson, Jón
;
Vries, Casper G. de
-
1998
construction of reliablesemi-parametric estimates of the
risk
associated with extreme pricemovements. Our approach is based on semi …
Persistent link: https://www.econbiz.de/10011299966
Saved in:
6
The impact of COVID-19 on tail
risk
: evidence from Nifty index options
Agarwalla, Sobhesh Kumar
;
Varma, Jayanth Rama
;
Virmani, …
- In:
Economics letters
204
(
2021
),
pp. 1-4
Persistent link: https://www.econbiz.de/10012607446
Saved in:
7
Option-implied information : what’s the vol surface got to do with it?
Ulrich, Maxim
;
Walther, Simon
- In:
Review of derivatives research
23
(
2020
)
3
,
pp. 323-355
Persistent link: https://www.econbiz.de/10012303253
Saved in:
8
Too good to be true? : an analysis of the options market's reactions to earnings releases
Lu, Yan
;
Ray, Sugata
- In:
Journal of business finance & accounting : JBFA
43
(
2016
)
7/8
,
pp. 830-848
Persistent link: https://www.econbiz.de/10011627641
Saved in:
9
Cross-sectional variation of option-implied
volatility
skew
Wu, Liuren
;
Tian, Meng
- In:
Management science : journal of the Institute for …
70
(
2024
)
6
,
pp. 3566-3580
Persistent link: https://www.econbiz.de/10014551903
Saved in:
10
Volatility
risk
premium decomposition of LIFFE equity options
Lin, Bing-huei
;
Lin, Yueh-neng
;
Chen, Yin-jung
- In:
International review of economics & finance : IREF
24
(
2012
),
pp. 315-326
Persistent link: https://www.econbiz.de/10009690153
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