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A random walk down the options market

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  • George J. Jiang
  • Yisong S. Tian

Abstract

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Suggested Citation

  • George J. Jiang & Yisong S. Tian, 2012. "A random walk down the options market," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 32(6), pages 505-535, June.
    • Handle: RePEc:wly:jfutmk:v:32:y:2012:i:6:p:505-535
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    Cited by:

    1. Mohammad Arashi & Mohammad Mahdi Rounaghi, 2022. "Analysis of market efficiency and fractal feature of NASDAQ stock exchange: Time series modeling and forecasting of stock index using ARMA-GARCH model," Future Business Journal, Springer, vol. 8(1), pages 1-12, December.
    2. Tran, Vu & Alsakka, Rasha & ap Gwilym, Owain, 2014. "Sovereign rating actions and the implied volatility of stock index options," International Review of Financial Analysis, Elsevier, vol. 34(C), pages 101-113.
    3. Huang, Henry H. & Wang, Kent & Wang, Zhanglong, 2016. "A test of efficiency for the S&P 500 index option market using the generalized spectrum method," Journal of Banking & Finance, Elsevier, vol. 64(C), pages 52-70.

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