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Advanced Search Results For "OPTIONS (Finance)"

1 - 10 of 49,080 results for
 "OPTIONS (Finance)"
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An American Call Is Worth More Than a European Call: The Value of American Exercise When the Market Is Not Perfectly Liquid.

Publication Type:Academic Journal

Source(s):Journal of Financial & Quantitative Analysis. May2022, Vol. 57 Issue 3, p1023-1057. 35p.

Abstract:Theory says an American call should never be exercised early, except possibly just before an ex-dividend date. But the best market bid is regularly lower than the intrinsic value for in-the-money short-maturity options. An American option can always be...

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Maturity Driven Mispricing of Options.

Publication Type:Academic Journal

Source(s):Journal of Financial & Quantitative Analysis. Mar2022, Vol. 57 Issue 2, p514-542. 29p.

Abstract:This paper documents that short-term options achieve significantly lower returns during months with 4 versus 5 weeks between expiration dates. The average return differential ranges from 16 to 29 basis points per week for delta-hedged portfolios, and f...

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Disagreement in the Equity Options Market and Stock Returns.

Publication Type:Academic Journal

Source(s):Review of Financial Studies. Mar2022, Vol. 35 Issue 3, p1443-1479. 37p.

Abstract:We estimate investor disagreement from synthetic long and short stock trades in the equity options market. We show that high disagreement predicts low stock returns after positive earnings surprises and high stock returns after negative earnings surpri...

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Option Return Predictability.

Publication Type:Academic Journal

Source(s):Review of Financial Studies. Mar2022, Vol. 35 Issue 3, p1394-1442. 49p.

Abstract:We uncover new return predictability in the cross-section of delta-hedged equity options. Expected returns to writing delta-hedged calls are negatively correlated with stock price, profit margin, and firm profitability, but positively correlated with c...

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Design and Application of Financial Market Option Pricing System Based on High-Performance Computing and Deep Reinforcement Learning.

Publication Type:Academic Journal

Source(s):Scientific Programming. 3/3/2022, p1-12. 12p.

Abstract:The option pricing estimation of financial market can be transformed into the calculation of high-dimensional integrals. In order to obtain the actual price, option pricing system can only rely on modern numerical methods; on the other hand, the improv...

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A [formula omitted]-functional Itô's formula and its applications in mathematical finance.

Publication Type:Academic Journal

Source(s):Stochastic Processes & Their Applications. Jun2022, Vol. 148, p299-323. 25p.

Abstract:Using Dupire's notion of vertical derivative, we provide a functional (path-dependent) extension of the Itô's formula of Gozzi and Russo (2006) that applies to C 0 , 1 -functions of continuous weak Dirichlet processes. It is motivated and illustrated b...

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Internal Control Weakness and the Asymmetrical Behavior of Selling, General, and Administrative Costs.

Publication Type:Academic Journal

Source(s):Journal of Accounting, Auditing & Finance. Jan2022, Vol. 37 Issue 1, p259-292. 34p. 7 Charts.

Abstract:Firms with internal control weakness (ICW) problems are less likely to provide managers with timely and precise information useful for internal resource management. The real options theory implies that managers in ICW firms, faced with information unce...

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State Price Density Implied by Crude Oil Futures and Option Prices.

Publication Type:Academic Journal

Source(s):Review of Financial Studies. Feb2022, Vol. 35 Issue 2, p1064-1103. 40p.

Abstract:Both large oil price increases and decreases are associated with deteriorating economic conditions. The projection of the state price density (SPD) onto oil returns estimated from oil futures and option prices displays a U-shaped pattern. Because inves...

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Contract Farming as a Last-resort Option to Finance Rice Cultivation in Senegal.

Publication Type:Academic Journal

Source(s):Journal of Development Studies. May2022, Vol. 58 Issue 5, p1014-1031. 18p. 2 Diagrams, 4 Charts, 1 Map.

Abstract:We investigate the role of contracts in farmers' access to credit over time using the conceptual framework of livelihoods and the economics of rural organisations. We applied multi-component analysis to a dataset of 594 rice farms in the Senegal river ...

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Long Memory and Fractality in the Universe of Volatility Indices.

Publication Type:Academic Journal

Source(s):Complexity. 1/20/2022, p1-8. 8p.

Abstract:Unlike previous studies that consider the Chicago Board of Options Exchange (CBOE) implied volatility index (VIX), we examine long memory and fractality in the universe of nine CBOE volatility indices. Using daily data from October 5, 2007, to October ...

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