The Impact of Overnight Periods on Option Pricing
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- Boes, M.J. & Drost, F.C. & Werker, B.J.M., 2007. "The impact of overnight periods on option pricing," Other publications TiSEM fc062462-2359-45ac-8826-d, Tilburg University, School of Economics and Management.
- Boes, M.J. & Drost, F.C. & Werker, B.J.M., 2005. "The Impact of Overnight Periods on Option Pricing," Discussion Paper 2005-1, Tilburg University, Center for Economic Research.
References listed on IDEAS
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CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Entrop, Oliver & Scholz, Hendrik & Wilkens, Marco, 2009. "The price-setting behavior of banks: An analysis of open-end leverage certificates on the German market," Journal of Banking & Finance, Elsevier, vol. 33(5), pages 874-882, May.
- Ito, Ryoko, 2013. "Modeling Dynamic Diurnal Patterns in High-Frequency Financial Data," Cambridge Working Papers in Economics 1315, Faculty of Economics, University of Cambridge.
- Nicholas Taylor, 2008. "The predictive value of temporally disaggregated volatility: evidence from index futures markets," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 27(8), pages 721-742.
- Ahoniemi, Katja & Lanne, Markku, 2013. "Overnight stock returns and realized volatility," International Journal of Forecasting, Elsevier, vol. 29(4), pages 592-604.
- Kaplanski, Guy & Levy, Haim, 2015. "Trading breaks and asymmetric information: The option markets," Journal of Banking & Finance, Elsevier, vol. 58(C), pages 390-404.
- repec:eee:jbfina:v:87:y:2018:i:c:p:49-67 is not listed on IDEAS
- Tsiakas, Ilias, 2008. "Overnight information and stochastic volatility: A study of European and US stock exchanges," Journal of Banking & Finance, Elsevier, vol. 32(2), pages 251-268, February.
More about this item
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
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