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Default risk and option returns

Vasquez, Aurelio; Xiao, Xiao - In: Management science : journal of the Institute for … 70 (2024) 4, pp. 2144-2167

Persistent link: https://www.econbiz.de/10014519915

Investor expectations of volatility increases around large stock splits as implied in call option premia

Klein, Linda S.; Peterson, David R. - In: The journal of financial research 11 (1988) 1, pp. 71-80

Persistent link: https://www.econbiz.de/10003602801

Implied volatility spreads and expected market returns

Atilgan, Yigit; Bali, Turan G.; Demirtas, K. Ozgur - In: Journal of business & economic statistics : JBES ; a … 33 (2015) 1, pp. 87-101

Persistent link: https://www.econbiz.de/10011389785

Effect of return and volatility calculation on option pricing : an analysis using BANKNIFTY

Ahmad, Akhlaque - In: Research bulletin / The Institute of Cost Accountants … 41 (2015) 1, pp. 103-110

Persistent link: https://www.econbiz.de/10011420532

Why do options prices predict stock returns? : evidence from analyst tipping

Lin, Tse-Chun; Lu, Xiaolong - In: Journal of banking & finance 52 (2015), pp. 17-28

Persistent link: https://www.econbiz.de/10011377291

Understanding delta-hedged option returns in stochastic volatility environments

Sasaki, Hiroshi - In: Asia-Pacific financial markets 22 (2015) 2, pp. 151-184

Persistent link: https://www.econbiz.de/10011377526

Abnormal returns, risk, and options in large data sets

Caserta, Silvia; Daníelsson, Jón; Vries, Casper G. de - 1998

Large data sets in finance with millions of observations have becomewidely available. Such data sets enable the construction of reliablesemi-parametric estimates of the risk associated with extreme pricemovements. Our approach is based on semi-parametric statisticalextreme value analysis, and...

Persistent link: https://www.econbiz.de/10011299966

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

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

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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