IDEAS home Printed from https://ideas.repec.org/r/oup/qjecon/v90y1976i1p75-89..html
   My bibliography  Save this item

Options and Efficiency

Citations

Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
as


Cited by:

  1. Jahangir Sultan, 2012. "Options on federal funds futures and interest rate volatility," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 32(4), pages 330-359, April.
  2. George Filis & Christos Floros & Bruno Eeckels, 2011. "Option listing, returns and volatility: evidence from Greece," Applied Financial Economics, Taylor & Francis Journals, vol. 21(19), pages 1423-1435.
  3. Gann, Philipp, 2009. "Liquidität, Risikoeinstellung des Kapitalmarktes und Konjunkturerwartung als Preisdeterminanten von Collateralized Debt Obligations (CDOs) - Eine simulationsgestützte Analyse," Discussion Papers in Business Administration 10582, University of Munich, Munich School of Management.
  4. Tega Anighoro, 2020. "Value relevance of the components of oil and gas reserve quantity change disclosures of upstream oil and gas companies in the london stock exchange," Papers 2005.14659, arXiv.org.
  5. Peter Van Tassel, 2020. "The Law of One Price in Equity Volatility Markets," Staff Reports 953, Federal Reserve Bank of New York.
  6. Dimitris Bertsimas & Natasha Bushueva, 2006. "Option Pricing without Price Dynamics: A Probabilistic Approach," Papers math/0612075, arXiv.org.
  7. Habib, Michel A. & Johnsen, D. Bruce & Naik, Narayan Y., 1997. "Spinoffs and Information," Journal of Financial Intermediation, Elsevier, vol. 6(2), pages 153-176, April.
  8. Dar-Hsin Chen & Po-Hsun Chang, 2008. "The impact of listing stock options on the underlying securities: the case of Taiwan," Applied Financial Economics, Taylor & Francis Journals, vol. 18(14), pages 1161-1172.
  9. Tsiaras, Leonidas, 2009. "The Forecast Performance of Competing Implied Volatility Measures: The Case of Individual Stocks," Finance Research Group Working Papers F-2009-02, University of Aarhus, Aarhus School of Business, Department of Business Studies.
  10. Peter Carr & Liuren Wu, 2014. "Static Hedging of Standard Options," Journal of Financial Econometrics, Society for Financial Econometrics, vol. 12(1), pages 3-46.
  11. Yang Gao & Bianxia Sun, 2018. "Impacts of Introducing Index Futures on Stock Market Volatilities: New Evidences from China," Review of Pacific Basin Financial Markets and Policies (RPBFMP), World Scientific Publishing Co. Pte. Ltd., vol. 21(04), pages 1-23, December.
  12. Bondarenko, Oleg, 2003. "Estimation of risk-neutral densities using positive convolution approximation," Journal of Econometrics, Elsevier, vol. 116(1-2), pages 85-112.
  13. Tian, Weidong, 2014. "Spanning with indexes," Journal of Mathematical Economics, Elsevier, vol. 53(C), pages 111-118.
  14. Cameron Truong, 2013. "The January effect, does options trading matter?," Australian Journal of Management, Australian School of Business, vol. 38(1), pages 31-48, April.
  15. François Grand & Xavier Ragot, 2016. "Incomplete markets and derivative assets," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 62(3), pages 517-545, August.
  16. Gennaioli, Nicola & Shleifer, Andrei & Vishny, Robert, 2012. "Neglected risks, financial innovation, and financial fragility," Journal of Financial Economics, Elsevier, vol. 104(3), pages 452-468.
  17. Niushan Gao & Foivos Xanthos, 2016. "Option spanning beyond $L_p$-models," Papers 1603.01288, arXiv.org, revised Sep 2016.
  18. Ai Jun Hou & Lars L. Nordén, 2018. "VIX futures calendar spreads," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 38(7), pages 822-838, July.
  19. Calvet, Laurent & Gonzalez-Eiras, Martín & Sodini, Paolo, 2004. "Financial Innovation, Market Participation, and Asset Prices," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 39(3), pages 431-459, September.
  20. Aliprantis, Charalambos D. & Harris, David & Tourky, Rabee, 2007. "Riesz estimators," Journal of Econometrics, Elsevier, vol. 136(2), pages 431-456, February.
  21. Maxime Charlebois & Stephen Sapp, 2007. "Temporal Patterns in Foreign Exchange Returns and Options," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 39(2‐3), pages 443-470, March.
  22. Perrakis, Stylianos, 1989. "Les contributions de la théorie financière à la solution de problèmes en organisation industrielle et en microéconomie appliquée," L'Actualité Economique, Société Canadienne de Science Economique, vol. 65(4), pages 518-546, décembre.
  23. Amira, Khaled & Bennour, Khaled, 2010. "Borrowing Constraint and the Effect of Option Introduction," MPRA Paper 26440, University Library of Munich, Germany.
  24. Barone-Adesi, Giovanni & Fusari, Nicola & Mira, Antonietta & Sala, Carlo, 2020. "Option market trading activity and the estimation of the pricing kernel: A Bayesian approach," Journal of Econometrics, Elsevier, vol. 216(2), pages 430-449.
  25. Judd, Kenneth L. & Leisen, Dietmar P.J., 2010. "Equilibrium open interest," Journal of Economic Dynamics and Control, Elsevier, vol. 34(12), pages 2578-2600, December.
  26. Martin F. Hellwig, 2018. "Valuation reports in the context of banking resolution: What are the challenges?," Discussion Paper Series of the Max Planck Institute for Research on Collective Goods 2018_06, Max Planck Institute for Research on Collective Goods.
  27. Nicola Gennaioli & Andrei Shleifer & Robert Vishny, 2010. "Financial Innovation and Financial Fragility," NBER Chapters, in: Market Institutions and Financial Market Risk, National Bureau of Economic Research, Inc.
  28. Frank Lehrbass, 1994. "Optimal hedging with currency forwards, calls, and calls on forwards for the competitive exporting firm facing exchange rate uncertainty," Journal of Economics, Springer, vol. 59(1), pages 51-70, February.
  29. Jón Daníelsson & Bjørn Jorgensen & Casper Vries & Xiaoguang Yang, 2008. "Optimal portfolio allocation under the probabilistic VaR constraint and incentives for financial innovation," Annals of Finance, Springer, vol. 4(3), pages 345-367, July.
  30. Jingtang Ma & Dongya Deng & Harry Zheng, 2016. "Convergence analysis and optimal strike choice for static hedges of general path-independent pay-offs," Quantitative Finance, Taylor & Francis Journals, vol. 16(4), pages 593-603, April.
  31. Aliprantis, Charalambos D. & Florenzano, Monique & Tourky, Rabee, 2005. "Linear and non-linear price decentralization," Journal of Economic Theory, Elsevier, vol. 121(1), pages 51-74, March.
  32. Michael Magill & Martine Quinzii, 2009. "The probability approach to general equilibrium with production," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 39(1), pages 1-41, April.
  33. De Winne, Rudy & Gresse, Carole & Platten, Isabelle, 2014. "Liquidity and risk sharing benefits from opening an ETF market with liquidity providers: Evidence from the CAC 40 index," International Review of Financial Analysis, Elsevier, vol. 34(C), pages 31-43.
  34. Joe Akira Yoshino, 2003. "Market Risk and Volatility in the Brazilian Stock Market," Journal of Applied Economics, Universidad del CEMA, vol. 6, pages 385-403, November.
  35. Esqueda, Omar A. & Assefa, Tibebe A. & Mollick, André Varella, 2012. "Financial globalization and stock market risk," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 22(1), pages 87-102.
  36. Bera, Anil Kumar & Uyar, Umut & Kangalli Uyar, Sinem Guler, 2020. "Analysis of the five-factor asset pricing model with wavelet multiscaling approach," The Quarterly Review of Economics and Finance, Elsevier, vol. 76(C), pages 414-423.
  37. Liu, Jun & Pan, Jun, 2003. "Dynamic derivative strategies," Journal of Financial Economics, Elsevier, vol. 69(3), pages 401-430, September.
  38. Ramesh P. Rao & Niranjan Tripathy & William P. Dukes, 1991. "Dealer Bid-Ask Spreads And Options Trading On Over-The-Counter Stocks," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 14(4), pages 317-325, December.
  39. Torben G. Andersen & Nicola Fusari & Viktor Todorov, 2017. "Short-Term Market Risks Implied by Weekly Options," Journal of Finance, American Finance Association, vol. 72(3), pages 1335-1386, June.
  40. Wi Saeng Kim & Colin M. Young, 1991. "The Effect Of Traded Option Introduction On Shareholder Wealth," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 14(2), pages 141-151, June.
  41. Carole Bernard & Oleg Bondarenko & Steven Vanduffel, 2018. "Rearrangement algorithm and maximum entropy," Annals of Operations Research, Springer, vol. 261(1), pages 107-134, February.
  42. Charalambos Aliprantis & Donald J. Brown & Werner, J., 1997. "Incomplete Derivative Markets and Portfolio Insurance," Cowles Foundation Discussion Papers 1126R, Cowles Foundation for Research in Economics, Yale University.
  43. Tomas Philipson, 1991. "Dynamic information release," Journal of Economics, Springer, vol. 53(2), pages 205-213, June.
  44. Hart, Oliver & Zingales, Luigi, 2014. "Banks Are Where The Liquidity Is," CEPR Discussion Papers 10017, C.E.P.R. Discussion Papers.
  45. Scholes, Myron S, 1998. "Derivatives in a Dynamic Environment," American Economic Review, American Economic Association, vol. 88(3), pages 350-370, June.
  46. Cerreia-Vioglio, S. & Maccheroni, F. & Marinacci, M., 2015. "Put–Call Parity and market frictions," Journal of Economic Theory, Elsevier, vol. 157(C), pages 730-762.
  47. Aloisio Araujo & Alain Chateauneuf & José Faro, 2012. "Pricing rules and Arrow–Debreu ambiguous valuation," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 49(1), pages 1-35, January.
  48. Paris, Francesco M., 2005. "Selecting an optimal portfolio of consumer loans by applying the state preference approach," European Journal of Operational Research, Elsevier, vol. 163(1), pages 230-241, May.
  49. Choi, Darwin & Getmansky, Mila & Tookes, Heather, 2009. "Convertible bond arbitrage, liquidity externalities, and stock prices," Journal of Financial Economics, Elsevier, vol. 91(2), pages 227-251, February.
  50. Julia Jiang & Weidong Tian, 2019. "Semi-nonparametric approximation and index options," Annals of Finance, Springer, vol. 15(4), pages 563-600, December.
  51. Keith Sill, 1997. "The economic benefits and risks of derivative securities," Business Review, Federal Reserve Bank of Philadelphia, issue Jan, pages 15-26.
  52. Ornelas, José Renato Haas & Barbachan, José Santiago Fajardo & Farias, Aquiles Rocha de, 2012. "Estimating relative risk aversion, risk-neutral and real-world densities using brazilian real currency options," EBAPE Working Papers 1, FGV EBAPE - Escola Brasileira de Administração Pública e de Empresas (Brazil).
  53. Bertrand, Philippe & Prigent, Jean-luc, 2016. "Equilibrium of financial derivative markets under portfolio insurance constraints," Economic Modelling, Elsevier, vol. 52(PA), pages 278-291.
  54. Ait-Sahalia, Yacine & Lo, Andrew W., 2000. "Nonparametric risk management and implied risk aversion," Journal of Econometrics, Elsevier, vol. 94(1-2), pages 9-51.
  55. Hentschel, Ludger & Smith, Clifford Jr., 1997. "Derivatives regulation: Implications for central banks," Journal of Monetary Economics, Elsevier, vol. 40(2), pages 305-346, October.
  56. Zhangxin (Frank) Liu & Michael J. O'Neill & Tom Smith, 2017. "State-preference pricing and volatility indices," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 57(3), pages 815-836, September.
  57. Nicola Gennaioli & Andrei Shleifer & Robert W. Vishny, 2013. "A Model of Shadow Banking," Journal of Finance, American Finance Association, vol. 68(4), pages 1331-1363, August.
  58. David K. Levine & William R. Zame, 2002. "Does Market Incompleteness Matter?," Econometrica, Econometric Society, vol. 70(5), pages 1805-1839, September.
  59. Piccotti, Louis R., 2020. "Strategic trade when securitized portfolio values are unknown," Journal of Banking & Finance, Elsevier, vol. 115(C).
  60. Beccarini, Andrea, 2014. "Solving the liquidity constraint by options on futures," Journal of Mathematical Economics, Elsevier, vol. 51(C), pages 116-120.
  61. Ismailescu, Iuliana & Phillips, Blake, 2015. "Credit default swaps and the market for sovereign debt," Journal of Banking & Finance, Elsevier, vol. 52(C), pages 43-61.
  62. Tak Kuen Siu & Robert J. Elliott, 2019. "Hedging Options In A Doubly Markov-Modulated Financial Market Via Stochastic Flows," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 22(08), pages 1-41, December.
  63. John, Kose & John, Teresa A., 2006. "Managerial incentives, derivatives and stability," Journal of Financial Stability, Elsevier, vol. 2(1), pages 71-94, April.
  64. Torben G. Andersen & Nicola Fusari & Viktor Todorov, 2015. "Parametric Inference and Dynamic State Recovery From Option Panels," Econometrica, Econometric Society, vol. 83(3), pages 1081-1145, May.
  65. Jiong Gong & Ping Jiang & Xiaochuan Xing, 2018. "Compensation Convexity without Utility Restriction," Australian Economic Papers, Wiley Blackwell, vol. 57(3), pages 238-249, September.
  66. Beck, Thorsten & Chen, Tao & Lin, Chen & Song, Frank M., 2016. "Financial innovation: The bright and the dark sides," Journal of Banking & Finance, Elsevier, vol. 72(C), pages 28-51.
  67. Torben G. Andersen & Oleg Bondarenko, 2007. "Construction and Interpretation of Model-Free Implied Volatility," CREATES Research Papers 2007-24, Department of Economics and Business Economics, Aarhus University.
  68. Bhupinder Bahra, 1997. "Implied risk-neutral probability density functions from option prices: theory and application," Bank of England working papers 66, Bank of England.
  69. Bødskov Andersen, Allan & Wagener, Tom, 2002. "Extracting risk neutral probability densities by fitting implied volatility smiles: some methodological points and an application to the 3M Euribor futures option prices," Working Paper Series 0198, European Central Bank.
  70. Dilip B. Madan & Frank Milne, 1994. "Contingent Claims Valued And Hedged By Pricing And Investing In A Basis," Mathematical Finance, Wiley Blackwell, vol. 4(3), pages 223-245, July.
  71. Tan, Oon Geok & Gannon, Gerard L., 2002. "'Information effect' of economic news: SPI futures," International Review of Financial Analysis, Elsevier, vol. 11(4), pages 467-489.
  72. Berkowitz, Jason P. & Depken, Craig A. & Gandar, John M., 2015. "Information and accuracy in pricing: Evidence from the NCAA men׳s basketball betting market," Journal of Financial Markets, Elsevier, vol. 25(C), pages 16-32.
  73. Martin Cincibuch & David Vavra, 2004. "Testing for the uncovered interest parity using distributions implied by FX options," Money Macro and Finance (MMF) Research Group Conference 2003 16, Money Macro and Finance Research Group.
  74. Alexandre M. Baptista, 2005. "Options And Efficiency In Multidate Security Markets," Mathematical Finance, Wiley Blackwell, vol. 15(4), pages 569-587, October.
  75. Alexandre Baptista, 2000. "Options and Efficiency in Multiperiod Security Markets," Econometric Society World Congress 2000 Contributed Papers 0299, Econometric Society.
  76. Breeden, Douglas T. & Gilkeson, James H., 1997. "A path-dependent approach to security valuation with application to interest rate contingent claims," Journal of Banking & Finance, Elsevier, vol. 21(4), pages 541-562, April.
  77. Merton, Robert, 1990. "Capital market theory and the pricing of financial securities," Handbook of Monetary Economics, in: B. M. Friedman & F. H. Hahn (ed.), Handbook of Monetary Economics, edition 1, volume 1, chapter 11, pages 497-581, Elsevier.
  78. Banerjee, Pradip & Chatrath, Arjun & Christie-David, Rohan & Maitra, Debasish, 2018. "The effects of options listing and delisting in a short-sale-constrained market: Evidence from the Indian equities markets," Global Finance Journal, Elsevier, vol. 35(C), pages 157-169.
  79. Bakshi, Gurdip & Madan, Dilip & Panayotov, George, 2010. "Returns of claims on the upside and the viability of U-shaped pricing kernels," Journal of Financial Economics, Elsevier, vol. 97(1), pages 130-154, July.
  80. Fleming, Jeff & Ostdiek, Barbara, 1999. "The impact of energy derivatives on the crude oil market," Energy Economics, Elsevier, vol. 21(2), pages 135-167, April.
  81. Sogiakas, Vasilios & Karathanassis, George, 2015. "Informational efficiency and spurious spillover effects between spot and derivatives markets," Global Finance Journal, Elsevier, vol. 27(C), pages 46-72.
  82. Mark Cassano, 2002. "Disagreement and equilibrium option trading volume," Review of Derivatives Research, Springer, vol. 5(2), pages 153-179, May.
  83. Ait-Sahalia, Yacine & Wang, Yubo & Yared, Francis, 2001. "Do option markets correctly price the probabilities of movement of the underlying asset?," Journal of Econometrics, Elsevier, vol. 102(1), pages 67-110, May.
  84. Rodrigo Hernández & Wayne Lee & Pu Liu & Tian-Shyr Dai, 2013. "Outperformance Certificates: analysis, pricing, interpretation, and performance," Review of Quantitative Finance and Accounting, Springer, vol. 40(4), pages 691-713, May.
  85. Gary L. Trennepohl & James R. Booth & Hassan Tehranian, 1988. "An Empirical Analysis Of Insured Portfolio Strategies Using Listed Options," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 11(1), pages 1-12, March.
  86. Dannemann, Tebbe & Prehn, Soren & Brümmer, Bernhard, 2014. "Optionshandel Und Maispreisvolatilitat: Does the Tail Wag the Dog?," 54th Annual Conference, Goettingen, Germany, September 17-19, 2014 187371, German Association of Agricultural Economists (GEWISOLA).
  87. Krebs, Tom, 2007. "Rational expectations equilibrium and the strategic choice of costly information," Journal of Mathematical Economics, Elsevier, vol. 43(5), pages 532-548, June.
  88. Benjamin M. Blau & Ryan J. Whitby, 2019. "The Introduction of Bitcoin Futures: An Examination of Volatility and Potential Spillover Effects," Economics Bulletin, AccessEcon, vol. 39(2), pages 1030-1038.
  89. Li‐Chin Jennifer Ho & John M. Hassell & Steve Swidler, 1995. "An empirical examination of the dispersion and accuracy of analyst forecasts surrounding option listing," Review of Financial Economics, John Wiley & Sons, vol. 4(2), pages 171-185, March.
  90. Jingtang Ma & Dongya Deng & Harry Zheng, 2014. "A robust algorithm and convergence analysis for static replications of nonlinear payoffs," Papers 1406.5430, arXiv.org.
  91. Bondarenko, Oleg, 2014. "Variance trading and market price of variance risk," Journal of Econometrics, Elsevier, vol. 180(1), pages 81-97.
  92. Roll, Richard & Schwartz, Eduardo & Subrahmanyam, Avanidhar, 2010. "O/S: The relative trading activity in options and stock," Journal of Financial Economics, Elsevier, vol. 96(1), pages 1-17, April.
  93. Joshua Rosenberg, 2000. "Asset Pricing Puzzles: Evidence from Options Markets," New York University, Leonard N. Stern School Finance Department Working Paper Seires 99-025, New York University, Leonard N. Stern School of Business-.
  94. Fäßler, Robert & Kraus, Christina & Weiler, Sebastian M. & Abukadyrova, Kamila, 2011. "Portfolio-Management für Privatanleger auf Basis des State Preference Ansatzes," Bayreuth Working Papers on Finance, Accounting and Taxation (FAcT-Papers) 2011-03, University of Bayreuth, Chair of Finance and Banking.
  95. Chung, San-Lin & Liu, Wen-Rang & Tsai, Wei-Che, 2014. "The impact of derivatives hedging on the stock market: Evidence from Taiwan’s covered warrants market," Journal of Banking & Finance, Elsevier, vol. 42(C), pages 123-133.
  96. Blanco, Iván & Wehrheim, David, 2017. "The bright side of financial derivatives: Options trading and firm innovation," Journal of Financial Economics, Elsevier, vol. 125(1), pages 99-119.
  97. Galvani, Valentina, 2007. "Underlying assets for which options complete the market," Finance Research Letters, Elsevier, vol. 4(1), pages 59-66, March.
  98. Christos Kountzakis & Ioannis Polyrakis, 2006. "The completion of security markets," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 29(1), pages 1-21, May.
  99. Taboga, Marco, 2016. "Option-implied probability distributions: How reliable? How jagged?," International Review of Economics & Finance, Elsevier, vol. 45(C), pages 453-469.
  100. Michael Magill & Martine Quinzii, 2009. "The probability approach to general equilibrium with production," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 39(1), pages 1-41, April.
  101. Robert A. Jarrow, 1999. "In Honor of the Nobel Laureates Robert C. Merton and Myron S. Scholes: A Partial Differential Equation That Changed the World," Journal of Economic Perspectives, American Economic Association, vol. 13(4), pages 229-248, Fall.
  102. repec:ipg:wpaper:2014-330 is not listed on IDEAS
  103. Adrian C. H. Lei, 2015. "Price and Volume Effects of Exchange‐Traded Barrier Options: Evidence from Callable Bull/Bear Contracts," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 35(11), pages 1042-1066, November.
  104. Fengler, Matthias & Hin, Lin-Yee, 2011. "Semi-nonparametric estimation of the call price surface under strike and time-to-expiry no-arbitrage constraints," Economics Working Paper Series 1136, University of St. Gallen, School of Economics and Political Science, revised May 2013.
  105. Nielsen, J. Aase & Sandmann, Klaus, 2003. "Pricing Bounds on Asian Options," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 38(2), pages 449-473, June.
  106. Palan, Stefan, 2010. "Digital options and efficiency in experimental asset markets," Journal of Economic Behavior & Organization, Elsevier, vol. 75(3), pages 506-522, September.
  107. Baptista, Alexandre M., 2003. "Spanning with American options," Journal of Economic Theory, Elsevier, vol. 110(2), pages 264-289, June.
  108. Chan, Leo & Lien, Donald, 2006. "Are options redundant? Further evidence from currency futures markets," International Review of Financial Analysis, Elsevier, vol. 15(2), pages 179-188.
  109. Mark Cassano & Bing Han, 2008. "Option volume, strike distribution, and foreign exchange rate movements," Review of Quantitative Finance and Accounting, Springer, vol. 30(1), pages 49-67, January.
  110. Roll, Richard & Schwartz, Eduardo & Subrahmanyam, Avanidhar, 2014. "Trading activity in the equity market and its contingent claims: An empirical investigation," Journal of Empirical Finance, Elsevier, vol. 28(C), pages 13-35.
  111. Michael J. O'Neill & Zhangxin Liu & Tom Smith, 2017. "Fund Volatility Index using equity market state prices," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 57(3), pages 837-853, September.
  112. Galvani, Valentina & Troitsky, Vladimir G., 2010. "Options and efficiency in spaces of bounded claims," Journal of Mathematical Economics, Elsevier, vol. 46(4), pages 616-619, July.
  113. S.Y. Wu & C.Z. Qin, 1996. "Pricing Derived Securities Under an Edgeworthian Process," Microeconomics 9603001, University Library of Munich, Germany.
  114. Dijkstra, Theo K. & Yao, Yong, 2002. "Moment generating function approach to pricing interest rate and foreign exchange rate claims," Insurance: Mathematics and Economics, Elsevier, vol. 31(2), pages 163-178, October.
  115. Bakshi, Gurdip & Madan, Dilip, 2000. "Spanning and derivative-security valuation," Journal of Financial Economics, Elsevier, vol. 55(2), pages 205-238, February.
  116. Martin, Ian, 2018. "Options and the Gamma Knife," LSE Research Online Documents on Economics 88077, London School of Economics and Political Science, LSE Library.
  117. Stéphane Yen & Ming-Hsiang Chen, 2010. "Open interest, volume, and volatility: evidence from Taiwan futures markets," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 34(2), pages 113-141, April.
  118. Aliprantis, Charalambos D. & Tourky, Rabee, 2002. "Markets that don't replicate any option," Economics Letters, Elsevier, vol. 76(3), pages 443-447, August.
  119. Seung Hwan Lee, 2014. "Estimation of risk-neutral measures using quartic B-spline cumulative distribution functions with power tails," Quantitative Finance, Taylor & Francis Journals, vol. 14(10), pages 1857-1879, October.
  120. Chaudhury, Mohammed & Elfakhami, Said, 1997. "Listing of put options: Is there any volatility effect?," Review of Financial Economics, Elsevier, vol. 6(1), pages 57-75.
  121. Faff, Robert & Hillier, David, 2005. "Complete markets, informed trading and equity option introductions," Journal of Banking & Finance, Elsevier, vol. 29(6), pages 1359-1384, June.
  122. Constantinides, George M. & Jackwerth, Jens Carsten & Perrakis, Stylianos, 2005. "Option pricing: Real and risk-neutral distributions," CoFE Discussion Papers 05/06, University of Konstanz, Center of Finance and Econometrics (CoFE).
  123. Jackwerth, Jens Carsten, 2000. "Recovering Risk Aversion from Option Prices and Realized Returns," Review of Financial Studies, Society for Financial Studies, vol. 13(2), pages 433-451.
  124. Kitsul, Yuriy & Wright, Jonathan H., 2013. "The economics of options-implied inflation probability density functions," Journal of Financial Economics, Elsevier, vol. 110(3), pages 696-711.
  125. Galvani, Valentina, 2009. "Option spanning with exogenous information structure," Journal of Mathematical Economics, Elsevier, vol. 45(1-2), pages 73-79, January.
  126. Truong, Cameron & Corrado, Charles & Chen, Yangyang, 2012. "The options market response to accounting earnings announcements," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 22(3), pages 423-450.
  127. Bartley R. Danielsen & Robert A. Van Ness & Richard S. Warr, 2009. "Single Stock Futures as a Substitute for Short Sales: Evidence from Microstructure Data," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 36(9-10), pages 1273-1293.
  128. Nusret Cakici & Gautam Goswami & Sinan Tan, 2018. "Equity Options During the Shorting Ban of 2008," Journal of Risk and Financial Management, MDPI, Open Access Journal, vol. 11(2), pages 1-31, March.
  129. Mark A. Satterthwaite, 1977. "On Stockholder Unanimity Towards Changes in Production Plans," Discussion Papers 293, Northwestern University, Center for Mathematical Studies in Economics and Management Science.
  130. Aliprantis, C. D. & Brown, D. J. & Werner, J., 2000. "Minimum-cost portfolio insurance," Journal of Economic Dynamics and Control, Elsevier, vol. 24(11-12), pages 1703-1719, October.
  131. Scheuenstuhl, Gerhard & Zagst, Rudi, 2008. "Integrated portfolio management with options," European Journal of Operational Research, Elsevier, vol. 185(3), pages 1477-1500, March.
  132. repec:dau:papers:123456789/2742 is not listed on IDEAS
  133. Aliprantis, Charalambos D. & Polyrakis, Yiannis A. & Tourky, Rabee, 2002. "The cheapest hedge," Journal of Mathematical Economics, Elsevier, vol. 37(4), pages 269-295, July.
  134. Niushan Gao & Denny H. Leung, 2017. "Smallest order closed sublattices and option spanning," Papers 1703.09748, arXiv.org.
  135. Dannhauser, Caitlin D., 2017. "The impact of innovation: Evidence from corporate bond exchange-traded funds (ETFs)," Journal of Financial Economics, Elsevier, vol. 125(3), pages 537-560.
  136. Tarun Chordia & Alexander Kurov & Dmitriy Muravyev & Avanidhar Subrahmanyam, 2021. "The joint cross section of stocks and options," Management Science, INFORMS, vol. 67(3), pages 1758-1778, March.
  137. Patrick Roger, 1991. "Options et complétude des marchés," Revue Économique, Programme National Persée, vol. 42(5), pages 787-800.
  138. Michael Schmutz & Thomas Zürcher, 2014. "Static Hedging with Traffic Light Options," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 34(7), pages 690-702, July.
  139. Du, Brian & Fung, Scott, 2018. "Directional information effects of options trading: Evidence from the banking industry," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 56(C), pages 149-168.
  140. George Karathanassis & Vasilios Sogiakas, 2010. "Spill over effects of futures contracts initiation on the cash market: a regime shift approach," Review of Quantitative Finance and Accounting, Springer, vol. 34(1), pages 95-143, January.
  141. Chabakauri, Georgy, 2015. "Dynamic equilibrium with rare events and heterogeneous Epstein-Zin investors," LSE Research Online Documents on Economics 60737, London School of Economics and Political Science, LSE Library.
  142. Ilya Molchanov & Michael Schmutz, 2009. "Exchangeability type properties of asset prices," Papers 0901.4914, arXiv.org, revised Apr 2011.
  143. Roll, Richard & Schwartz, Eduardo & Subrahmanyam, Avanidhar, 2009. "Options trading activity and firm valuation," Journal of Financial Economics, Elsevier, vol. 94(3), pages 345-360, December.
  144. Jovanovic, Franck & Schinckus, Christophe, 2017. "Econophysics and Financial Economics: An Emerging Dialogue," OUP Catalogue, Oxford University Press, number 9780190205034.
  145. Mark A. Satterthwaite, 1979. "On the Scope of Stockholder Unanimity Theorems," Discussion Papers 368, Northwestern University, Center for Mathematical Studies in Economics and Management Science.
  146. Liu, Zhangxin (Frank) & Faff, Robert, 2017. "Hitting SKEW for SIX," Economic Modelling, Elsevier, vol. 64(C), pages 449-464.
  147. Grinblatt, Mark & Wan, Kam-Ming, 2020. "State pricing, effectively complete markets, and corporate finance," Journal of Corporate Finance, Elsevier, vol. 60(C).
  148. Bartley R. Danielsen & Robert A. Van Ness & Richard S. Warr, 2009. "Single Stock Futures as a Substitute for Short Sales: Evidence from Microstructure Data," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 36(9‐10), pages 1273-1293, November.
  149. Torben G. Andersen & Nicola Fusari & Viktor Todorov, 2015. "The Pricing of Short-Term market Risk: Evidence from Weekly Options," NBER Working Papers 21491, National Bureau of Economic Research, Inc.
  150. David M. Kreps, 1982. "Multiperiod Securities and the Efficient Allocation of Risk: A Comment on the Black-Scholes Option Pricing Model," NBER Chapters, in: The Economics of Information and Uncertainty, pages 203-232, National Bureau of Economic Research, Inc.
  151. E. Jouini & P. -F. Koehl & N. Touzi, 1997. "Incomplete markets, transaction costs and liquidity effects," The European Journal of Finance, Taylor & Francis Journals, vol. 3(4), pages 325-347.
  152. Soniya Mohil & Reena Nayyar & Archana Patro, 2020. "When is informed trading more prevalent?—An examination of options trading around Indian M&A announcements," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 40(6), pages 1011-1029, June.
  153. Kelley Bergsma & Vivien Csapi & Dean Diavatopoulos & Andy Fodor, 2020. "Show me the money: Option moneyness concentration and future stock returns," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 40(5), pages 761-775, May.
  154. Xingguo Luo & Xiaoli Yu & Shihua Qin & Qi Xu, 2020. "Option trading and the cross‐listed stock returns: Evidence from Chinese A–H shares," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 40(11), pages 1665-1690, November.
  155. Henderson, Brian J. & Pearson, Neil D., 2011. "The dark side of financial innovation: A case study of the pricing of a retail financial product," Journal of Financial Economics, Elsevier, vol. 100(2), pages 227-247, May.
  156. Michael Magill, 2000. "Equity, Options and Efficiency in the Presence of Moral Hazard," Econometric Society World Congress 2000 Contributed Papers 1845, Econometric Society.
  157. James Bergin, 1985. "The Use of Options in Generating and Pricing Return Streams," Discussion Papers 687, Northwestern University, Center for Mathematical Studies in Economics and Management Science.
  158. David A. Graham, 1977. "Cost-Benefit Analysis Under Uncertainty," NBER Working Papers 0194, National Bureau of Economic Research, Inc.
  159. Topaloglou, Nikolas & Vladimirou, Hercules & Zenios, Stavros A., 2020. "Integrated dynamic models for hedging international portfolio risks," European Journal of Operational Research, Elsevier, vol. 285(1), pages 48-65.
  160. Vohra, Suprita & Fabozzi, Frank J., 2019. "Effectiveness of developed and emerging market FX options in active currency risk management," Journal of International Money and Finance, Elsevier, vol. 96(C), pages 130-146.
  161. Galvani, Valentina, 2007. "A note on spanning with options," Mathematical Social Sciences, Elsevier, vol. 54(1), pages 106-114, July.
  162. Tom Arnold & Richard Shockley, 2010. "Real Options Analysis and the Assumptions of Corporate Finance: A Non-Technical Review," Multinational Finance Journal, Multinational Finance Journal, vol. 14(1-2), pages 29-71, March-Jun.
  163. Vasilios N. Katsikis & Spyridon D. Mourtas, 2020. "ORPIT: A Matlab Toolbox for Option Replication and Portfolio Insurance in Incomplete Markets," Computational Economics, Springer;Society for Computational Economics, vol. 56(4), pages 711-721, December.
  164. Ashley Ding, 2019. "Information and volatility linkages across energy and financial markets," Australian Journal of Management, Australian School of Business, vol. 44(4), pages 594-613, November.
  165. Dominique Achour & Robert Brown, 1984. "Un marche d'options sur indice de prix fonciers: nouvel instrument d'une politique de l'habitition. (With English summary.)," Canadian Public Policy, University of Toronto Press, vol. 10(3), pages 287-295, September.
  166. Weidong Tian & Junya Jiang & Weidong Tian, 2017. "Model Uncertainty Effect on Asset Prices," International Review of Finance, International Review of Finance Ltd., vol. 17(2), pages 205-233, June.
  167. Jose Faias & Pedro Santa-Clara, 2011. "Optimal Option Portfolio Strategies," EcoMod2011 3041, EcoMod.
  168. Bruce Lehmann, 2008. "Arbitrage-free Limit Order Books and the Pricing of Order Flow Risk," NBER Working Papers 13848, National Bureau of Economic Research, Inc.
  169. José Renato Haas Ornelas & Marcelo Yoshio Takami, 2011. "Recovering Risk-Neutral Densities from Brazilian Interest Rate Options," Brazilian Review of Finance, Brazilian Society of Finance, vol. 9(1), pages 9-26.
IDEAS is a RePEc service hosted by the Research Division of the Federal Reserve Bank of St. Louis . RePEc uses bibliographic data supplied by the respective publishers.