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Tag options [90 articles]

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  • Price Changes of Related Securities: The Case of Call Options and Stocks
    The Journal of Financial and Quantitative Analysis, Vol. 22, No. 1. (1987), pp. 1-15.
    by Mihir Bhattacharya
    posted to studies stock statistical securities put prices options equilibrium call arbitrage analysis by yanshanxiao on 2008-09-23 10:47:55 as **
  • Information Effects on the Bid-Ask Spread
    The Journal of Finance, Vol. 38, No. 5. (1983), pp. 1457-1469.
    by Thomas E Copeland, Dan Galai
    posted to trading studies spread securities put price options models insider-trading dealers call bid asked by yanshanxiao on 2008-09-23 11:10:15 as ** along with 1 person jchau
  • Liquidity of the CBOE Equity Options
    The Journal of Finance, Vol. 45, No. 4. (1990), pp. 1157-1179.
    by Anand M Vijh
    posted to theory studies stock spread regression prices price options models markets liquidity economic comparative bid asked analysis by yanshanxiao on 2008-09-23 09:37:58 as **
  • Informed Trading in Stock and Option Markets
    The Journal of Finance, Vol. 59, No. 3. (2004), pp. 1235-1257.
    by Sugato Chakravarty, Huseyin Gulen, Stewart Mayhew
    posted to trading studies stock securities prices options markets by yanshanxiao on 2008-09-24 00:49:23 as **
  • The Pricing of Options and Corporate Liabilities
    The Journal of Political Economy, Vol. 81, No. 3. (1973), pp. 637-654.
    by Fischer Black, Myron Scholes
    posted to valuation securities options analysis by yanshanxiao on 2008-09-23 10:45:19 as ** along with 17 people and 2 groups gi0rgi0ne snax brian klouie carneym homeizhang kokoro1981 joeionnojitsu wreckademik syoyo danfcook alexv trivial81 chris_gpu KenM skheller quianominorleo Glimcher_Lab GPGPU
  • A Characterization of the Daily and Intraday Behavior of Returns on Options
    The Journal of Finance, Vol. 49, No. 2. (1994), pp. 557-579.
    by Aamir M Sheikh, Ehud I Ronn
    posted to trading theory studies stock statistical return rates prices options of models economic analysis by yanshanxiao on 2008-09-23 10:18:34 as **
  • The Allocation of Informed Trading Across Related Markets: An Analysis of the Impact of Changes in Equity-Option Margin Requirements
    The Journal of Finance, Vol. 50, No. 5. (1995), pp. 1635-1653.
    by Stewart Mayhew, Atulya Sarin, Kuldeep Shastri
    posted to trading studies securities requirements options markets margin analysis by yanshanxiao on 2008-09-23 10:21:46 as **
  • Why Option Prices Lag Stock Prices: A Trading-Based Explanation
    The Journal of Finance, Vol. 48, No. 5. (1993), pp. 1957-1967.
    by Kalok Chan, Peter Y Chung, Herb Johnson
    posted to trading studies stock prices price options models hypotheses economic asked arbitrage by yanshanxiao on 2008-09-23 10:41:12 as **
  • The Interrelation of Stock and Options Market Trading-Volume Data
    The Journal of Finance, Vol. 43, No. 4. (1988), pp. 949-964.
    by Joseph H Anthony
    posted to volume tests stock securities options models mathematical markets insider-trading common by yanshanxiao on 2008-09-23 10:50:13 as **
  • Option Market Activity
    Rev. Financ. Stud., Vol. 20, No. 3. (1 May 2007), pp. 813-857.
    by Josef Lakonishok, Inmoo Lee, Neil D Pearson, Allen M Poteshman
    posted to options by wanni on 2007-05-05 09:44:09 as read along with 1 group assetpricing
  • Hedging Volatility Risk
    (2001)
    by M Brenner, E Ou, J Zhang
    posted to options straddle by wanni on 2007-04-08 17:00:25 as **** along with 1 group assetpricing
  • Model Specification and Risk Premia: Evidence from Futures Options
    The Journal of Finance, Vol. 62, No. 3. (June 2007), pp. 1453-1490.
    by Mark Broadie, Mikhail Chernov, Michael Johannes
    posted to options by wanni on 2007-07-04 14:53:21 as **** along with 1 group assetpricing
  • Recovering risk aversion from option prices and realized returns
    Rev. Financ. Stud., Vol. 13, No. 2. (1 April 2000), pp. 433-451.
    by Jc Jackwerth
    posted to options by wanni on 2007-05-07 14:19:41 as **** along with 1 person and 1 group Scis0000002 assetpricing
  • Options, Short Sales, and Market Completeness
    The Journal of Finance, Vol. 48, No. 2. (1993), pp. 761-777.
    by Stephen Figlewski, Gwendolyn P Webb
    posted to options by wanni on 2007-07-04 14:29:01 as ** along with 1 group assetpricing
  • Why Does Implied Risk Aversion Smile?
    Rev. Financ. Stud., Vol. 20, No. 3. (1 May 2007), pp. 859-904.
    by Alexandre Ziegler
    posted to options by wanni on 2007-05-05 09:43:37 as **** along with 1 group assetpricing
  • Invisible Parameters in Option Prices
    The Journal of Finance, Vol. 48, No. 3. (1993), pp. 933-947.
    by Steven L Heston
    posted to options by wanni on 2007-07-04 12:44:06 as ***** along with 1 group assetpricing
  • Technology competition and optimal investment timing: a real options perspective
    Engineering Management, IEEE Transactions on, Vol. 52, No. 1. (2005), pp. 15-29.
    by RJ Kauffman, Xiaotong Li
    posted to competition options real technology by tsmura on 2007-09-11 10:01:40 as ** along with 1 person and 1 group arkas UoA_ODT
  • Between MDPs and semi-MDPs: a framework for temporal abstraction in reinforcement learning
    Artificial Intelligence, Vol. 112, No. 1-2. (1999), pp. 181-211.
    by Richard S Sutton, Doina Precup, Satinder Singh
    posted to options rg rl by stober on 2008-08-13 17:06:44 as ** along with 2 people schumach ddahlem
  • Option Prices as Predictors of Equilibrium Stock Prices
    The Journal of Finance, Vol. 37, No. 4. (1982), pp. 1043-1057.
    by Steven Manaster, Richard J Rendleman
    posted to markets options order-books price-discovery pricing by Scis0000002 on 2008-01-13 13:28:44 as ** along with 1 person yanshanxiao
  • Automating the Analysis of Option Pricing Algorithms
    by Through I Knowledge
    posted to options pricing by Scis0000002 on 2007-12-14 00:58:14 as **
  • Quantum extension of European option pricing based on the Ornstein Uhlenbeck process
    Physica A Statistical Mechanics and its Applications, Vol. 368 (August 2006), pp. 176-182.
    by EW Piotrowski, M Schroeder, A Zambrzycka
    posted to options pricing quantum-games quantum-strategies quantum-trading-strategies by Scis0000002 on 2008-01-04 10:34:31 as **
  • Perfect option hedging for a large trader
    (1998)
    by R Frey
    posted to hedging options by Scis0000002 on 2007-12-28 19:59:26 as **
  • Risk-neutral density extraction from option prices: improved pricing with mixture density networks
    IEEE-NN, Vol. 12 (July 2001), pp. 716-725.
    by C Schittenkopf, G Dorffner
    posted to options pricing risk-neutral by Scis0000002 on 2007-12-14 01:20:02 as **
  • Information and option pricing
    (2001)
    by X Guo
    posted to boundedness cognitive-hierarchies knowledge-hierarchies options pricing by Scis0000002 on 2007-12-14 01:31:17 as **
  • Option pricing in a world with arbitrage
    (2000)
    by X Guo, L Shepp
    posted to arbitrage options pricing by Scis0000002 on 2007-12-14 01:23:36 as **
  • A Non-Gaussian Option Pricing Model with Skew
    (26 Mar 2004)
    by L Borland, JP Bouchaud
    posted to nongaussian options pricing skewness by Scis0000002 on 2007-12-16 15:34:08 as **
  • Automated State Abstraction for Options using the U-Tree Algorithm
    (2000), pp. 1054-1060.
    by Anders Jonsson, Andrew G Barto
    posted to options by Scis0000002 on 2008-01-30 13:28:29 as **
  • Information and option pricing
    (2001)
    by X Guo
    posted to options pricing by Scis0000002 on 2007-12-14 14:09:29 as **
  • Stock Price Jumps and their Impact on Option Valuation
    (1995)
    by S Trautmann, M Beinert
    posted to discontinuity options pricing by Scis0000002 on 2007-12-14 02:32:40 as **
  • Adaptive genetic programming for option pricing
    (2007), pp. 2588-2594.
    by Zheng Yin, Anthony Brabazon, Conall O'Sullivan
    posted to derivatives genetic-programming options pricing by Scis0000002 on 2007-12-13 23:18:51 as **
  • Beyond implied volatility:extracting information from option prices
    (1997)
    by R Cont
    posted to information-extraction options volatilities volatility by Scis0000002 on 2007-12-16 15:29:47 as **
  • A Theory of Non\_Gaussian Option Pricing
    ArXiv Condensed Matter e-prints (May 2002)
    by L Borland
    posted to nongaussianity options pricing by Scis0000002 on 2007-12-31 00:28:37 as **
  • Option Coskewness and Capital Asset Pricing
    Review of Financial Studies, Vol. 19, No. 4. (2006), pp. 1279-1320.
    by Vanden, M Joel
    posted to coskewness options pricing by Scis0000002 on 2007-12-31 00:47:26 as **
  • A Comparative Study of GARCH (1,1) and Black-Scholes Option Prices
    by M Chaudhury, Et
    posted to options pricing by Scis0000002 on 2007-12-28 20:12:05 as ** along with 1 person aydinli
  • Path integrals in fluctuating markets with a non-Gaussian option pricing model
    Vol. 5848 (May 2005), pp. 66-85.
    by FDR Bonnet, J van der Hoek, A Allison, D Abbott
    edited by D Abbott, JP Bouchaud, X Gabaix, JL Mccauley
    posted to nongaussianity options path-integrals pricing by Scis0000002 on 2007-12-31 00:23:06 as **
  • Stochastic relaxational dynamics applied to finance: Towards non-equilibrium option pricing theory
    European Physical Journal B, Vol. 14 (2000), pp. 383-394.
    by M Otto
    posted to nonequilibrium option-pricing-theory options pricing by Scis0000002 on 2007-07-04 12:46:24 as **
  • Path-Dependent Option Valuation When the Underlying Path Is Discontinuous
    by Chunsheng Zhou
    posted to discontinuity options pricing by Scis0000002 on 2007-12-14 02:41:52 as **
  • Probability Distributions of Assets Inferred from Option Prices via the Principle of Maximum Entropy
    SIAM J. on Optimization, Vol. 14, No. 2. (2003), pp. 464-478.
    by J Borwein, R Choksi, P Maréchal
    posted to maximum-entropy options reconstructing by Scis0000002 on 2007-12-14 00:54:26 as **
  • A Pricing and Hedging Comparison of Parametric and Nonparametric Approaches for American Index Options
    JOURNAL OF FINANCIAL ECONOMETRICS, Vol. 1, No. 3. (1 September 2003), pp. 327-364.
    by Toby Daglish
    posted to nonparametric options parametric pricing by Scis0000002 on 2007-12-13 14:36:44 as **
  • Online trading algorithms and robust option pricing
    (2006), pp. 477-486.
    by Peter Demarzo, Ilan Kremer, Yishay Mansour
    posted to online options pricing trading by scis0000001 on 2007-03-31 00:08:27 as ** along with 1 person Scis0000002
  • Hedging strategy for a portfolio of options and stocks with linear programming
    Applied Mathematics and Computation, Vol. 199, No. 2. (01 June 2008), pp. 804-810.
    by M Horasanli
    posted to options by sacke on 2008-10-05 20:28:50 as ****
  • The Accuracy of Density Forecasts from Foreign Exchange Options
    Journal of Financial Econometrics, Vol. 3, No. 4. (2005), pp. 578-605.
    by Peter Christoffersen, Stefano Mazzotta
    posted to options smile by RobHayward on 2006-04-11 09:30:45 as **
  • Modelling the implied volatility surface: Does market efficiency matter?: An application to MIB30 index options
    International Review of Financial Analysis, Vol. 15, No. 2. (2006), pp. 145-178.
    by Gianluca Cassese, Massimo Guidolin
    posted to options smile volatility by RobHayward on 2006-04-28 08:50:07 as **
  • Stochastic skew in currency options
    Journal of Financial Economics, Vol. 86, No. 1. (October 2007), pp. 213-247.
    by Peter Carr, Liuren Wu
    posted to derivative fx options by RobHayward on 2007-09-17 08:14:48 as ***
  • Are options redundant? Further evidence from currency futures markets
    International Review of Financial Analysis, Vol. 15, No. 2. (2006), pp. 179-188.
    by Leo Chan, Donald Lien
    posted to fx options smile by RobHayward on 2006-04-28 08:51:08 as **
  • Option-implied risk preferences: An extension to wider classes of utility functions
    Journal of Financial Markets, Vol. 9, No. 2. (May 2006), pp. 180-198.
    by Byung J Kang, Tong S Kim
    posted to options volatility by RobHayward on 2006-05-04 19:56:22 as **
  • Path Dependent Option Pricing: The Path Integral Partial Averaging Method
    Social Science Research Network Working Paper Series (November 1999)
    by Andrew Matacz, Afa
    posted to finance integral option options path by pdlug on 2007-07-31 03:15:49 as **
  • Why We Have Never Used the Black-Scholes-Merton Option Pricing Formula (fourth version)
    Social Science Research Network Working Paper Series (January 2008)
    by Espen G Haug, Nassim N Taleb
    posted to black-scholes controversy economics finance options pricing by pdlug on 2008-02-20 23:14:29 as ** along with 2 people alexv skheller
  • notes The role of microbiota in infectious disease.
    Trends in microbiology, Vol. 16, No. 3. (March 2008), pp. 107-114.
    by B Stecher, WD Hardt
    posted to bacteria options review synoptic by ojdyar on 2008-04-28 20:52:34 as read along with 1 person and 1 group HugoMarcelo BNC infectors
  • notes Roundtrip explorations of bacterial infection: from single cells to the entire host and back.
    Trends in microbiology, Vol. 15, No. 11. (November 2007), pp. 483-490.
    by J Enninga, P Sansonetti, R Tournebize
    posted to bacteria critical methods options review synoptic by ojdyar on 2008-04-28 20:58:42 as ** along with 1 group BNC infectors
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