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Risk, Uncertainty, and Option...
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121
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114
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109
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109
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104
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101
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96
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93
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86
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84
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81
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80
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78
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76
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75
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74
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74
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73
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73
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72
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72
Hartog, Joop
71
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71
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70
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70
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68
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67
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66
Christoffersen, Peter F.
65
Kit, Pong Wong
65
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63
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63
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Tilburg University, Center for Economic Research
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International review of economics & finance : IREF
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International journal of production economics
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The journal of derivatives : the official publication of the International Association of Financial Engineers
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ECONIS (ZBW)
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Showing
1
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date (oldest first)
1
Investing in a random start American option under competition
Pereira, Paulo
;
Rodrigues, Artur
- In:
Finance research letters
28
(
2019
),
pp. 388-397
Persistent link: https://www.econbiz.de/10012388350
Saved in:
2
Super-hedging American options with semi-static trading strategies under model uncertainty
Bayraktar, Erhan
;
Zhou, Zhou
- In:
International journal of theoretical and applied finance
20
(
2017
)
6
,
pp. 1-10
Persistent link: https://www.econbiz.de/10011734088
Saved in:
3
The option to pay attention
Izhakian, Yehuda
;
Levy, Hagit
;
Shalev, Ron
;
Zur, Emanuel
-
2021
evidence that an increase in firm-specific
risk
(ambiguity), which increases (reduces) option value, increases (reduces …
Persistent link: https://www.econbiz.de/10012593942
Saved in:
4
Uncertainty of Put-Call Parity Violation and Option Returns
Liu, Chun
;
Wang, Tianyu
;
Wang, Yintian
;
Xiang, Hong
-
2022
This paper presents a new robust predictor for option returns: the uncertainty of put-call parity violation (VVS). We find that the delta-hedged equity option return decreases monotonically with VVS. Although VVS is highly correlated with the classical uncertainty and limit-to-arbitrage...
Persistent link: https://www.econbiz.de/10013403606
Saved in:
5
Why does volatility uncertainty predict equity option returns?
Cao, Jie
;
Vasquez, Aurelio
;
Xiao, Xiao
;
Zhan, Xintong
- In:
The Quarterly Journal of Finance : QJF
13
(
2023
)
1
,
pp. 1-35
Persistent link: https://www.econbiz.de/10014305078
Saved in:
6
The relationship between conditional value at
risk
and option prices with a closed-form solution
Mitra, Sovan
- In:
The European journal of finance
21
(
2015
)
4/6
,
pp. 400-425
Persistent link: https://www.econbiz.de/10010528975
Saved in:
7
Strategy vs
risk
in margining portfolios of options
Coffman, Edward G.
;
Matsypura, D.
;
Timkovsky, V. G.
- In:
4OR : a quarterly journal of operations research
8
(
2010
)
4
,
pp. 375-386
Persistent link: https://www.econbiz.de/10008778748
Saved in:
8
Volatility-of-volatility and tail
risk
hedging returns
Park, Yang-Ho
- In:
Journal of financial markets
26
(
2015
),
pp. 38-63
Persistent link: https://www.econbiz.de/10011477272
Saved in:
9
Risk
Analysis and Hedging of Parisian Options Under a Jump-Diffusion Model
Kim, Kyoung-Kuk
-
2019
A Parisian option is a variant of a barrier option such that its payment is activated or deactivated only if the underlying asset remains above or below a barrier over a certain amount of time. We show that its complex payoff feature can cause dynamic hedging to fail. As an alternative, we...
Persistent link: https://www.econbiz.de/10012904013
Saved in:
10
Model
risk
in the over-the-counter market
Lazar, Emese
;
Qi, Shuyuan
- In:
European journal of operational research : EJOR
298
(
2022
)
2
,
pp. 769-784
Persistent link: https://www.econbiz.de/10013206897
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