The smirk in the S&P500 futures options prices: a linearized factor analysis
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DOI: 10.1007/s11147-009-9037-2
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Cited by:
- Constantinides, George M. & Lian, Lei, 2021.
"The Supply and Demand of S&P 500 Put Options,"
Critical Finance Review, now publishers, vol. 10(1), pages 1-20, April.
- George M. Constantinides & Lei Lian, 2015. "The Supply and Demand of S&P 500 Put Options," NBER Working Papers 21161, National Bureau of Economic Research, Inc.
- Andrew Carverhill & Dan Luo, 2020. "Pricing and integration of credit default swap index tranches," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 40(4), pages 503-526, April.
- Hong, Hui & Sung, Hao-Chang & Yang, Jingjing, 2018. "On profitability of volatility trading on S&P 500 equity index options: The role of trading frictions," International Review of Economics & Finance, Elsevier, vol. 55(C), pages 295-307.
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More about this item
Keywords
S&P500 index; Futures; Options; Smirk; Skew; G12; G13;All these keywords.
JEL classification:
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
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