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Advanced Search Results For "OPTIONS (Finance) -- Sales & prices"

1 - 10 of 1,168 results for
 "OPTIONS (Finance) -- Sales & prices"
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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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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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How do firms hedge in financial distress?

Publication Type:Academic Journal

Source(s):Journal of Futures Markets. Jul2022, Vol. 42 Issue 7, p1324-1351. 28p.

Abstract:We examine how firms hedge in financial distress. Using hand‐collected data from oil and gas producers, we find that these firms hedge oil prices during periods of financial distress. Derivative portfolios in these firms are characterized by short put ...

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Does Option Trading Have a Pervasive Impact on Underlying Stock Prices?

Publication Type:Academic Journal

Source(s):Review of Financial Studies. Apr2021, Vol. 34 Issue 4, p1952-1986. 35p.

Abstract:The question of whether and to what extent option trading affects underlying stock prices has been of interest to researchers since exchange-based options trading began in 1973. Recent research presents evidence of an informational channel through whic...

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Stock Return Extrapolation, Option Prices, and Variance Risk Premium.

Publication Type:Academic Journal

Source(s):Review of Financial Studies; Mar2022, Vol. 35 Issue 3, p1348-1393, 46p

Abstract:Copyright of Review of Financial Studies is the property of Oxford University Press / USA and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users m...

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A Tractable Framework for Option Pricing with Dynamic Market Maker Inventory and Wealth.

Publication Type:Academic Journal

Source(s):Journal of Financial & Quantitative Analysis. Jun2020, Vol. 55 Issue 4, p1117-1162. 46p.

Abstract:We develop a tractable dynamic model of an index option market maker with limited capital. We solve for the variance risk premium and option prices as a function of the asset dynamics and market maker option holdings and wealth. The market maker absorb...

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Hedging pressure and liquidity provision in commodity options markets.

Publication Type:Academic Journal

Source(s):Journal of Futures Markets; Jul2022, Vol. 42 Issue 7, p1212-1233, 22p

Abstract:Copyright of Journal of Futures Markets is the property of John Wiley & Sons, Inc. and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may prin...

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Option Pricing of Earnings Announcement Risks.

Publication Type:Academic Journal

Source(s):Review of Financial Studies. Feb2019, Vol. 32 Issue 2, p646-687. 42p.

Abstract:This paper uses option prices to learn about the equity price uncertainty surrounding information released on earnings announcement dates. To do this, we introduce reduced-form models and estimators to separate price uncertainty about earnings announce...

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Do VIX futures contribute to the valuation of VIX options?

Publication Type:Academic Journal

Source(s):Journal of Futures Markets; Sep2022, Vol. 42 Issue 9, p1644-1664, 21p

Abstract:Copyright of Journal of Futures Markets is the property of John Wiley & Sons, Inc. and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may prin...

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A Recovery that We Can Trust? Deducing and Testing the Restrictions of the Recovery Theorem.

Publication Type:Academic Journal

Source(s):Review of Financial Studies. Feb2018, Vol. 31 Issue 2, p532-555. 24p.

Abstract:How reliable is the recovery theorem of Ross (2015)? We explore this question in the context of options on the 30-year Treasury bond futures, allowing us to deduce restrictions that link the physical and risk-neutral return distributions. Our empirical...

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