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An Empirical Portfolio Perspective on Option Pricing Anomalies
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Cited by:
- Santa-Clara, Pedro & Saretto, Alessio, 2009.
"Option strategies: Good deals and margin calls,"
Journal of Financial Markets, Elsevier, vol. 12(3), pages 391-417, August.
- Santa-Clara, Pedro & Saretto, Alessio, 2004. "Option Strategies: Good Deals and Margin Calls," University of California at Los Angeles, Anderson Graduate School of Management qt0499w44p, Anderson Graduate School of Management, UCLA.
- George M. Constantinides & Michal Czerwonko & Stylianos Perrakis, 2020.
"Mispriced index option portfolios,"
Financial Management, Financial Management Association International, vol. 49(2), pages 297-330, June.
- George M. Constantinides & Michal Czerwonko & Stylianos Perrakis, 2017. "Mispriced Index Option Portfolios," NBER Working Papers 23708, National Bureau of Economic Research, Inc.
- Christoffersen, Peter & Heston, Steven & Jacobs, Kris, 2010. "Option Anomalies and the Pricing Kernel," Working Papers 11-17, University of Pennsylvania, Wharton School, Weiss Center.
- N. Naguez & J. L. Prigent, 2017.
"Optimal portfolio positioning within generalized Johnson distributions,"
Quantitative Finance, Taylor & Francis Journals, vol. 17(7), pages 1037-1055, July.
- Naceur Naguez & Jean-Luc Prigent, 2014. "Optimal Portfolio Positioning within Generalized Johnson Distributions," Working Papers 2014-336, Department of Research, Ipag Business School.
- N. Naguez & Jean-Luc Prigent, 2017. "Optimal portfolio positioning within generalized Johnson distributions," Post-Print hal-03679701, HAL.
- Kapetanios, George & Konstantinidi, Eirini & Neumann, Michael & Skiadopoulos, George, 2019.
"Jumps in option prices and their determinants: Real-time evidence from the E-mini S&P 500 options market,"
Journal of Financial Markets, Elsevier, vol. 46(C).
- George Kapetanios & Michael Neumann & George Skiadopoulos, 2014. "Jumps in Option Prices and Their Determinants: Real-time Evidence from the E-mini S&P 500 Option Market," Working Papers 730, Queen Mary University of London, School of Economics and Finance.
- George Kapetanios & Michael Neumann & George Skiadopoulos, 2014. "Jumps in Option Prices and Their Determinants: Real-time Evidence from the E-mini S&P 500 Option Market," Working Papers 730, Queen Mary University of London, School of Economics and Finance.
- Bertrand, Philippe & Prigent, Jean-luc, 2016.
"Equilibrium of financial derivative markets under portfolio insurance constraints,"
Economic Modelling, Elsevier, vol. 52(PA), pages 278-291.
- Philippe Bertrand & Jean-Luc Prigent, 2016. "Equilibrium of financial derivative markets under portfolio insurance constraints," Post-Print hal-01833070, HAL.
- Rania HENTATI & Jean-Luc PRIGENT, 2010.
"Structured Portfolio Analysis under SharpeOmega Ratio,"
EcoMod2010
259600073, EcoMod.
- Rania Hentati & Jean-Luc Prigent, 2012. "Structured portfolio analysis under SharpeOmega ratio," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) hal-00657327, HAL.
- Rania Hentati & Jean-Luc Prigent, 2012. "Structured portfolio analysis under SharpeOmega ratio," Working Papers hal-00657327, HAL.
- Rania Hentati-KAFFEL & Jean-Luc Prigent, 2014. "Structured portfolio analysis under SharpeOmega ratio," Working Papers 2014-425, Department of Research, Ipag Business School.
- Rania Hentati-Kaffel & Jean-Luc Prigent, 2012. "Structured portfolio analysis under SharpeOmega ratio," Documents de travail du Centre d'Economie de la Sorbonne 12002, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.
- Sanjay K. Nawalkha & Xiaoyang Zhuo, 2022. "A Theory of Equivalent Expectation Measures for Contingent Claim Returns," Journal of Finance, American Finance Association, vol. 77(5), pages 2853-2906, October.
- Jonathan Raimana Chan & Thomas Huckle & Antoine Jacquier & Aitor Muguruza, 2021. "Portfolio optimisation with options," Papers 2111.12658, arXiv.org, revised Sep 2024.
- Hong, Hui & Sung, Hao-Chang & Yang, Jingjing, 2018. "On profitability of volatility trading on S&P 500 equity index options: The role of trading frictions," International Review of Economics & Finance, Elsevier, vol. 55(C), pages 295-307.
- Brinkmann, Felix & Korn, Olaf, 2014. "Risk-adjusted option-implied moments," CFR Working Papers 14-07, University of Cologne, Centre for Financial Research (CFR).
- Konstantinidi, Eirini & Skiadopoulos, George, 2016.
"How does the market variance risk premium vary over time? Evidence from S&P 500 variance swap investment returns,"
Journal of Banking & Finance, Elsevier, vol. 62(C), pages 62-75.
- Eirini Konstantinidi & George Skiadopoulos, 2014. "How Does the Market Variance Risk Premium Vary over Time? Evidence from S&P 500 Variance Swap Investment Returns," Working Papers 732, Queen Mary University of London, School of Economics and Finance.
- Felix Brinkmann & Olaf Korn, 2018. "Risk-adjusted option-implied moments," Review of Derivatives Research, Springer, vol. 21(2), pages 149-173, July.
- Daskalaki, Charoula & Skiadopoulos, George, 2011. "Should investors include commodities in their portfolios after all? New evidence," Journal of Banking & Finance, Elsevier, vol. 35(10), pages 2606-2626, October.
- Baule, Rainer & Korn, Olaf & Kuntz, Laura-Chloé, 2019. "Markowitz with regret," Journal of Economic Dynamics and Control, Elsevier, vol. 103(C), pages 1-24.
- George M. Constantinides & Michal Czerwonko & Jens Carsten Jackwerth & Stylianos Perrakis, 2011.
"Are Options on Index Futures Profitable for Risk‐Averse Investors? Empirical Evidence,"
Journal of Finance, American Finance Association, vol. 66(4), pages 1407-1437, August.
- Jackwerth, Jens Carsten & Constantinides, George M. & Czerwonko, Michal & Perrakis, Stelios, 2008. "Are options on index futures profitable for risk averse investors? Empirical evidence," CoFE Discussion Papers 08/08, University of Konstanz, Center of Finance and Econometrics (CoFE).
- George M. Constantinides & Michal Czerwonko & Jens Carsten Jackwerth & Stylianos Perrakis, 2010. "Are Options on Index Futures Profitable for Risk Averse Investors? Empirical Evidence," NBER Working Papers 16302, National Bureau of Economic Research, Inc.
- Lai, Ya-Wen, 2017. "Macroeconomic factors and index option returns," International Review of Economics & Finance, Elsevier, vol. 48(C), pages 452-477.
- Philippe Bertrand & Jean-Luc Prigent, 2015.
"On Path-Dependent Structured Funds: Complexity Does Not Always Pay (Asian versus Average Performance Funds),"
Finance, Presses universitaires de Grenoble, vol. 36(2), pages 67-105.
- Philippe Bertrand & Jean-luc Prigent, 2014. "On Path-Dependent Structured Funds: Complexity Does Not Always Pay (Asian versus Average Performance Funds)," Working Papers 2014-348, Department of Research, Ipag Business School.
- Philippe Bertrand & Jean-Luc Prigent, 2015. "On Path-Dependent Structured Funds: Complexity Does Not Always Pay (Asian versus Average Performance Funds)," Post-Print hal-01833074, HAL.
- Rad, Hossein & Low, Rand Kwong Yew & Miffre, Joëlle & Faff, Robert, 2020.
"Does sophistication of the weighting scheme enhance the performance of long-short commodity portfolios?,"
Journal of Empirical Finance, Elsevier, vol. 58(C), pages 164-180.
- Hossein Rad & Rand Low & Joelle Miffre & Robert Faff, 2020. "Does sophistication of the weighting scheme enhance the performance of long-short commodity portfolios?," Post-Print hal-02868473, HAL.
- Sanjay K. Nawalkha & Xiaoyang Zhuo, 2020. "A Theory of Equivalent Expectation Measures for Contingent Claim Returns," Papers 2006.15312, arXiv.org, revised May 2022.
- Bertrand, Philippe & Prigent, Jean-luc, 2019.
"On the optimality of path-dependent structured funds: The cost of standardization,"
European Journal of Operational Research, Elsevier, vol. 277(1), pages 333-350.
- Philippe Bertrand & Jean-Luc Prigent, 2019. "On the optimality of path-dependent structured funds: The cost of standardization," Post-Print hal-02492961, HAL.
- Dierkes, Maik & Erner, Carsten & Zeisberger, Stefan, 2010. "Investment horizon and the attractiveness of investment strategies: A behavioral approach," Journal of Banking & Finance, Elsevier, vol. 34(5), pages 1032-1046, May.
- Pratish Patel & Andrew Raquel & Savannah Chadwick, 2024. "The cash-secured put-write strategy and the variance risk premium," Journal of Asset Management, Palgrave Macmillan, vol. 25(1), pages 31-50, February.
- Massimo Guidolin & Giacomo Leonetti & Manuela Pedio, 2024. "Who should buy structured investment products and why?," BAFFI CAREFIN Working Papers 24222, BAFFI CAREFIN, Centre for Applied Research on International Markets Banking Finance and Regulation, Universita' Bocconi, Milano, Italy.
- Yanhui Chen & Kin Lai & Jiangze Du, 2014. "Modeling and forecasting Hang Seng index volatility with day-of-week effect, spillover effect based on ARIMA and HAR," Eurasian Economic Review, Springer;Eurasia Business and Economics Society, vol. 4(2), pages 113-132, December.
- Shuonan Yuan & Marc Oliver Rieger, 2021. "Diversification with options and structured products," Review of Derivatives Research, Springer, vol. 24(1), pages 55-77, April.
- Hamed Ghanbari & Michael Oancea & Stylianos Perrakis, 2021. "Shedding light on a dark matter: Jump diffusion and option‐implied investor preferences," European Financial Management, European Financial Management Association, vol. 27(2), pages 244-286, March.
- Liu, Yan, 2021. "Index option returns and generalized entropy bounds," Journal of Financial Economics, Elsevier, vol. 139(3), pages 1015-1036.
- Nawalkha, Sanjay K & Zhuo, Xiaoyang, 2020. "A Theory of Equivalent Expectation Measures for Expected Prices of Contingent Claims," OSF Preprints hsxtu, Center for Open Science.
- repec:ipg:wpaper:2014-330 is not listed on IDEAS
- Barahona, Ricardo & Driessen, Joost & Frehen, Rik, 2021. "Can unpredictable risk exposure be priced?," Journal of Financial Economics, Elsevier, vol. 139(2), pages 522-544.
- Pang, Xiaochuan & Zhu, Shushang & Cui, Xueting & Ma, Jiali, 2023. "Systemic risk of optioned portfolio: Controllability and optimization," Journal of Economic Dynamics and Control, Elsevier, vol. 153(C).
- Bjørn Eraker, 2013. "The performance of model based option trading strategies," Review of Derivatives Research, Springer, vol. 16(1), pages 1-23, April.
- Benzoni, Luca & Collin-Dufresne, Pierre & Goldstein, Robert S., 2011.
"Explaining asset pricing puzzles associated with the 1987 market crash,"
Journal of Financial Economics, Elsevier, vol. 101(3), pages 552-573, September.
- Luca Benzoni & Pierre Collin-Dufresne & Robert S. Goldstein, 2010. "Explaining asset pricing puzzles associated with the 1987 market crash," Working Paper Series WP-2010-10, Federal Reserve Bank of Chicago.
- Driessen, Joost & Maenhout, Pascal, 2013. "The world price of jump and volatility risk," Journal of Banking & Finance, Elsevier, vol. 37(2), pages 518-536.
- Konstantinidi, Eirini & Skiadopoulos, George, 2016.
"How does the market variance risk premium vary over time? Evidence from S&P 500 variance swap investment returns,"
Journal of Banking & Finance, Elsevier, vol. 62(C), pages 62-75.
- Eirini Konstantinidi & George Skiadopoulos, 2014. "How Does the Market Variance Risk Premium Vary over Time? Evidence from S&P 500 Variance Swap Investment Returns," Working Papers 732, Queen Mary University of London, School of Economics and Finance.
- Eirini Konstantinidi & George Skiadopoulos, 2014. "How Does the Market Variance Risk Premium Vary over Time? Evidence from S&P 500 Variance Swap Investment Returns," Working Papers 732, Queen Mary University of London, School of Economics and Finance.
- Gagnon, Marie-Hélène & Manseau, Guillaume & Power, Gabriel J., 2020. "They're back! Post-financialization diversification benefits of commodities," International Review of Financial Analysis, Elsevier, vol. 71(C).
- 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.
- Branger, Nicole & Hansis, Alexandra, 2012. "Asset allocation: How much does model choice matter?," Journal of Banking & Finance, Elsevier, vol. 36(7), pages 1865-1882.
- Oleg Sokolinskiy, 2020. "Conditional dependence in post-crisis markets: dispersion and correlation skew trades," Review of Quantitative Finance and Accounting, Springer, vol. 55(2), pages 389-426, August.
- Natividad Blasco & Pilar Corredor & Rafael Santamaría, 2010. "Does informed trading occur in the options market? Some revealing clues," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 50(3), pages 555-579, September.
- Alexandros Kostakis & Nikolaos Panigirtzoglou & George Skiadopoulos, 2011. "Market Timing with Option-Implied Distributions: A Forward-Looking Approach," Management Science, INFORMS, vol. 57(7), pages 1231-1249, July.
- Stylianos Perrakis, 2022. "From innovation to obfuscation: continuous time finance fifty years later," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 36(3), pages 369-401, September.
- Xiaochuan Pang & Shushang Zhu & Xueting Cui & Jiali Ma, 2022. "Systemic Risk of Optioned Portfolios: Controllability and Optimization," Papers 2209.04685, arXiv.org.
- Papantonis, Ioannis, 2016. "Volatility risk premium implications of GARCH option pricing models," Economic Modelling, Elsevier, vol. 58(C), pages 104-115.
- Bas Peeters, 2012. "Risk premiums in a simple market model for implied volatility," Quantitative Finance, Taylor & Francis Journals, vol. 13(5), pages 739-748, January.