The Pricing of Short-Term market Risk: Evidence from Weekly Options
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Cited by:
- José E. Figueroa-López & Sveinn Ólafsson, 2016. "Short-term asymptotics for the implied volatility skew under a stochastic volatility model with Lévy jumps," Finance and Stochastics, Springer, vol. 20(4), pages 973-1020, October.
- Ging‐Ginq Pan & Yung‐Ming Shiu & Tu‐Cheng Wu, 2018. "Analysis of the clientele effect and the information content of short‐term index option returns in Taiwan," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 38(6), pages 715-730, June.
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More about this item
JEL classification:
- C01 - Mathematical and Quantitative Methods - - General - - - Econometrics
- C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
- C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection
- C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
- G17 - Financial Economics - - General Financial Markets - - - Financial Forecasting and Simulation
- G32 - Financial Economics - - Corporate Finance and Governance - - - Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure; Value of Firms; Goodwill
NEP fields
This paper has been announced in the following NEP Reports:- NEP-RMG-2015-09-05 (Risk Management)
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