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The Factor Structure in Equity Options

Citations

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Cited by:

  1. Jozef Barunik & Mattia Bevilacqua & Michael Ellington, 2023. "Common Firm-level Investor Fears: Evidence from Equity Options," Papers 2309.03968, arXiv.org.
  2. Michel van der Wel & Sait R. Ozturk & Dick van Dijk, 2015. "Dynamic Factor Models for the Volatility Surface," CREATES Research Papers 2015-13, Department of Economics and Business Economics, Aarhus University.
  3. Zhe Li, 2020. "Equity Option Pricing with Systematic and Idiosyncratic Volatility and Jump Risks," JRFM, MDPI, vol. 13(1), pages 1-18, January.
  4. Erik Vogt, 2014. "Option-implied term structures," Staff Reports 706, Federal Reserve Bank of New York.
  5. Dmitriy Muravyev & Neil D Pearson & Stijn Van Nieuwerburgh, 2020. "Options Trading Costs Are Lower than You Think," The Review of Financial Studies, Society for Financial Studies, vol. 33(11), pages 4973-5014.
  6. Wang, Jinzhong & Chen, Shijiang & Tao, Qizhi & Zhang, Ting, 2017. "Modelling the implied volatility surface based on Shanghai 50ETF options," Economic Modelling, Elsevier, vol. 64(C), pages 295-301.
  7. Matthias Buechner & Bryan T. Kelly, 2021. "A Factor Model For Option Returns," NBER Working Papers 29369, National Bureau of Economic Research, Inc.
  8. Doshi, Hitesh & Ericsson, Jan & Fournier, Mathieu & Seo, Sang Byung, 2024. "The risk and return of equity and credit index options," Journal of Financial Economics, Elsevier, vol. 161(C).
  9. Li, Yifan & Nolte, Ingmar & Pham, Manh Cuong, 2024. "Parametric risk-neutral density estimation via finite lognormal-Weibull mixtures," Journal of Econometrics, Elsevier, vol. 241(2).
  10. Akash Deep & Chris Monico & W. Brent Lindquist & Svetlozar T. Rachev & Frank J. Fabozzi, 2025. "Binary Tree Option Pricing Under Market Microstructure Effects: A Random Forest Approach," Papers 2507.16701, arXiv.org.
  11. Ruan, Xinfeng, 2020. "Volatility-of-volatility and the cross-section of option returns," Journal of Financial Markets, Elsevier, vol. 48(C).
  12. Adjemian, Michael K. & Bruno, Valentina G. & Robe, Michel A., 2016. "What Drives Volatility Expectations in Grain Markets?," 2016 Conference, April 18-19, 2016, St. Louis, Missouri 285861, NCR-134/ NCCC-134 Applied Commodity Price Analysis, Forecasting, and Market Risk Management.
  13. Borochin, Paul & Wu, Zekun & Zhao, Yanhui, 2021. "The effect of option-implied skewness on delta- and vega-hedged option returns," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 74(C).
  14. Song, Shiyu & Tang, Dan & Xu, Guangli & Yin, Xunbai, 2023. "An analytical GARCH valuation model for spread options with default risk," International Review of Economics & Finance, Elsevier, vol. 83(C), pages 1-20.
  15. Rombouts, Jeroen V.K. & Stentoft, Lars & Violante, Francesco, 2020. "Pricing individual stock options using both stock and market index information," Journal of Banking & Finance, Elsevier, vol. 111(C).
  16. Eric Renault & Thijs Van Der & Bas J M Werker, 2023. "Arbitrage Pricing Theory for Idiosyncratic Variance Factors," Journal of Financial Econometrics, Oxford University Press, vol. 21(5), pages 1403-1442.
  17. Bevilacqua, Mattia & Tunaru, Radu, 2021. "The SKEW index: Extracting what has been left," Journal of Financial Stability, Elsevier, vol. 53(C).
  18. Bai, Jennie & Goldstein, Robert S. & Yang, Fan, 2019. "The leverage effect and the basket-index put spread," Journal of Financial Economics, Elsevier, vol. 131(1), pages 186-205.
  19. Andrea Frazzini & Lasse Heje Pedersen, 2022. "Embedded Leverage [Asset pricing with liquidity risk]," The Review of Asset Pricing Studies, Society for Financial Studies, vol. 12(1), pages 1-52.
  20. Barletta, Andrea & Santucci de Magistris, Paolo & Sloth, David, 2019. "It only takes a few moments to hedge options," Journal of Economic Dynamics and Control, Elsevier, vol. 100(C), pages 251-269.
  21. Kalnina, Ilze & Tewou, Kokouvi, 2025. "Cross-sectional dependence in idiosyncratic volatility," Journal of Econometrics, Elsevier, vol. 249(PB).
  22. Mohrschladt, Hannes & Schneider, Judith C., 2021. "Option-implied skewness: Insights from ITM-options," Journal of Economic Dynamics and Control, Elsevier, vol. 131(C).
  23. Bevilacqua, Mattia & Tunaru, Radu, 2021. "The SKEW index: extracting what has been left," LSE Research Online Documents on Economics 108198, London School of Economics and Political Science, LSE Library.
  24. Chen, Ding & Guo, Biao & Zhou, Guofu, 2023. "Firm fundamentals and the cross-section of implied volatility shapes," Journal of Financial Markets, Elsevier, vol. 63(C).
  25. Büchner, Matthias & Kelly, Bryan, 2022. "A factor model for option returns," Journal of Financial Economics, Elsevier, vol. 143(3), pages 1140-1161.
  26. R'emy Chicheportiche & Jean-Philippe Bouchaud, 2013. "A nested factor model for non-linear dependences in stock returns," Papers 1309.3102, arXiv.org.
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