On the public citation graph
Understanding Index Option Returns
0 signed · 363 inferred · view as graph
Inferred edges come from two machine sources: sweeps of open repository metadata (mostly SSRN and Zenodo), and a bulk OpenAlex citation snapshot. Every row below is labelled with the one it came from. Neither is a complete citation index — absence here is not evidence of absence.
Is this your work? Sign in with ORCID and put your name on the
claims that are yours.
Reference health. See whether every reference in this work resolves to a
known work and none has been retracted — and get a dated CiteStamped
badge you can embed.
What this work says
Outgoing claims: the papers this work cites, builds on, or argues with.
inferredcites →https://doi.org/10.1016/0304-405x(76)90022-2openalex-snapshot
Option pricing when underlying stock returns are discontinuous
inferredcites →https://doi.org/10.1016/0304-405x(80)90007-0openalex-snapshot
On estimating the expected return on the market
inferredcites →https://doi.org/10.1016/0927-5398(94)90001-9openalex-snapshot
A contingent claim approach to performance evaluation
inferredcites →https://doi.org/10.1016/j.jfineco.2005.09.008openalex-snapshot
Market price of risk specifications for affine models: Theory and evidence☆
inferredcites →https://doi.org/10.1016/s0304-405x(01)00088-5openalex-snapshot
The jump-risk premia implicit in options: evidence from an integrated time-series study
inferredcites →https://doi.org/10.1016/s0304-4076(00)00091-9openalex-snapshot
Do option markets correctly price the probabilities of movement of the underlying asset?
inferredcites →https://doi.org/10.1016/s0304-4076(03)00108-8openalex-snapshot
Alternative models for stock price dynamics
inferredcites →https://doi.org/10.1016/s0304-4076(99)00021-4openalex-snapshot
Post-'87 crash fears in the S&P 500 futures option market
inferredcites →https://doi.org/10.1017/s0022109000014447openalex-snapshot
Can Tests Based on Option Hedging Errors Correctly Identify Volatility Risk Premia?
inferredcites →https://doi.org/10.1086/260062openalex-snapshot
The Pricing of Options and Corporate Liabilities
inferredcites →https://doi.org/10.1086/295995openalex-snapshot
The Returns and Risk of Alternative Call Option Portfolio Investment Strategies
inferredcites →https://doi.org/10.1086/296153openalex-snapshot
The Returns and Risks of Alternative Put-Option Portfolio Investment Strategies
inferredcites →https://doi.org/10.1086/296275openalex-snapshot
Option Portfolio Strategies: Measurement and Evaluation
inferredcites →https://doi.org/10.1093/rfs/13.2.433openalex-snapshot
Recovering Risk Aversion from Option Prices and Realized Returns
inferredcites →https://doi.org/10.1093/rfs/2.3.393openalex-snapshot
Portfolio Performance Evaluation: Old Issues and New Insights
inferredcites →https://doi.org/10.1093/rfs/3.4.493openalex-snapshot
General Equilibrium Pricing of Options on the Market Portfolio with Discontinuous Returns
inferredcites →https://doi.org/10.1093/rfs/6.2.327openalex-snapshot
A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
inferredcites →https://doi.org/10.1093/rfs/9.1.69openalex-snapshot
Jumps and Stochastic Volatility: Exchange Rate Processes Implicit in Deutsche Mark Options
inferredcites →https://doi.org/10.1093/rfs/hhi011openalex-snapshot
An Equilibrium Model of Rare-Event Premia and Its Implication for Option Smirks
inferredcites →https://doi.org/10.1093/rfs/hhm025openalex-snapshot
Portfolio Performance Manipulation and Manipulation-proof Performance Measures
inferredcites →https://doi.org/10.1111/0022-1082.00365openalex-snapshot
The Equity Premium and Structural Breaks
inferredcites →https://doi.org/10.1111/1467-9965.00039openalex-snapshot
Pricing Stock Options in a Jump‐Diffusion Model with Stochastic Volatility and Interest Rates: Applications of Fourier Inversion Methods
inferredcites →https://doi.org/10.1111/1540-6261.00460openalex-snapshot
An Empirical Investigation of Continuous‐Time Equity Return Models
inferredcites →https://doi.org/10.1111/1540-6261.00566openalex-snapshot
The Impact of Jumps in Volatility and Returns
inferredcites →https://doi.org/10.1111/j.1540-6261.1984.tb04920.xopenalex-snapshot
A Simple Formula for the Expected Rate of Return of an Option over a Finite Holding Period
inferredcites →https://doi.org/10.1111/j.1540-6261.1994.tb05152.xopenalex-snapshot
A Characterization of the Daily and Intraday Behavior of Returns on Options
inferredcites →https://doi.org/10.1111/j.1540-6261.2004.00647.xopenalex-snapshot
Does Net Buying Pressure Affect the Shape of Implied Volatility Functions?
inferredcites →https://doi.org/10.1111/j.1540-6261.2004.00666.xopenalex-snapshot
Do Stock Prices and Volatility Jump? Reconciling Evidence from Spot and Option Prices
inferredcites →https://doi.org/10.1111/j.1540-6261.2004.00670.xopenalex-snapshot
Risks for the Long Run: A Potential Resolution of Asset Pricing Puzzles
inferredcites →https://doi.org/10.1111/j.1540-6261.2006.01006.xopenalex-snapshot
Model Uncertainty and Option Markets with Heterogeneous Beliefs
inferredcites →https://doi.org/10.1111/j.1540-6261.2006.01059.xopenalex-snapshot
A Nonlinear Factor Analysis of S&P 500 Index Option Returns
inferredcites →https://doi.org/10.1111/j.1540-6261.2007.01241.xopenalex-snapshot
Model Specification and Risk Premia: Evidence from Futures Options
inferredcites →https://doi.org/10.1142/s2010139214500153openalex-snapshot
Why Are Put Options So Expensive?
inferredcites →https://doi.org/10.1198/073500106000000350openalex-snapshot
On the Role of Risk Premia in Volatility Forecasting
inferredcites →https://doi.org/10.1287/mnsc.1060.0579openalex-snapshot
A Theory of Volatility Spreads
inferredcites →https://doi.org/10.2139/ssrn.424384openalex-snapshot
A Portfolio Perspective on Option Pricing Anomalies
inferredcites →https://doi.org/10.2139/ssrn.493462openalex-snapshot
Can Tests Based on Option Hedging Errors Correctly Identify Volatility Risk Premia?
inferredcites →https://doi.org/10.2139/ssrn.507122openalex-snapshot
Inflation and Earnings Uncertainty and Volatility Forecasts: A Structural Form Approach
inferredcites →https://doi.org/10.2139/ssrn.524724openalex-snapshot
Market Price of Risk Specifications for Affine Models: Theory and Evidence
inferredcites →https://doi.org/10.2139/ssrn.681643openalex-snapshot
Option Strategies: Good Deals and Margin Calls
inferredcites →https://doi.org/10.2469/faj.v35.n5.61openalex-snapshot
Why Simulations Are an Unreliable Test of Option Strategies
inferredcites →https://doi.org/10.2469/faj.v55.n1.2239openalex-snapshot
Beyond Mean–Variance: Performance Measurement in a Nonsymmetrical World (corrected)
inferredcites →https://doi.org/10.3386/w11861openalex-snapshot
Can Standard Preferences Explain the Prices of out of the Money S&P 500 Put Options
What points at this work
Incoming claims: where this work appears in other papers’ reference lists and arguments.
inferred← citeshttps://doi.org/10.2139/ssrn.4620128openalex-extracted
Recent Developments in Financial Risk and the Real Economy
inferred← citeshttps://doi.org/10.1002/fut.21717openalex-snapshot
The Return–Volatility Relation in Commodity Futures Markets
inferred← citeshttps://doi.org/10.1002/fut.21788openalex-snapshot
Trading the VIX Futures Roll and Volatility Premiums with VIX Options
inferred← citeshttps://doi.org/10.1002/fut.21833openalex-snapshot
Anchoring and Probability Weighting in Option Prices
inferred← citeshttps://doi.org/10.1002/fut.21865openalex-snapshot
Options‐based benchmark indices—A review of performance and (in)appropriate measures
inferred← citeshttps://doi.org/10.1002/fut.21971openalex-snapshot
Indian equity options: Smile, risk premiums, and efficiency
inferred← citeshttps://doi.org/10.1002/fut.22066openalex-snapshot
What Do We Know About Individual Equity Options?
inferred← citeshttps://doi.org/10.1002/fut.22094openalex-snapshot
Volatility as an asset class: Holding VIX in a portfolio
inferred← citeshttps://doi.org/10.1002/fut.22186openalex-snapshot
Informed options trading around holidays
inferred← citeshttps://doi.org/10.1002/fut.22380openalex-snapshot
Changes in the options contract size and arbitrage opportunities
inferred← citeshttps://doi.org/10.1002/fut.22590openalex-snapshot
The Dynamics of Option Volatility Smirk and Option Returns Predictability: Evidence From Chinese SSE50 ETF Options
inferred← citeshttps://doi.org/10.1002/fut.22604openalex-snapshot
Option Return Predictability via Machine Learning: New Evidence From China
inferred← citeshttps://doi.org/10.1002/fut.22614openalex-snapshot
Commodity Option Return Predictability
inferred← citeshttps://doi.org/10.1002/fut.70016openalex-snapshot
Illuminating the Pricing Kernels: Short‐Term and Long‐Term Index Option Returns
inferred← citeshttps://doi.org/10.1002/fut.70122openalex-snapshot
Reciprocal Return Risk Premium and Option Returns
inferred← citeshttps://doi.org/10.1002/fut.70124openalex-snapshot
A Comprehensive Analysis of Realized Skewness Trading
inferred← citeshttps://doi.org/10.1007/978-3-030-11590-6_2openalex-snapshot
Stochastic Dominance Option Pricing I: The Frictionless Case
inferred← citeshttps://doi.org/10.1007/978-3-030-11590-6_5openalex-snapshot
Stochastic Dominance Option Pricing: Empirical Applications
inferred← citeshttps://doi.org/10.1007/978-3-030-11590-6_6openalex-snapshot
Stochastic Dominance and Further Theoretical and Empirical Option Research
inferred← citeshttps://doi.org/10.1007/s10100-019-00666-5openalex-snapshot
Explaining S&P500 option returns: an implied risk-adjusted approach
inferred← citeshttps://doi.org/10.1007/s10436-017-0317-9openalex-snapshot
The Pricing Kernel Puzzle: Survey and Outlook
inferred← citeshttps://doi.org/10.1007/s10690-014-9198-3openalex-snapshot
Understanding Delta-Hedged Option Returns in Stochastic Volatility Environments
inferred← citeshttps://doi.org/10.1007/s10693-025-00446-0openalex-snapshot
Market Shock Scenario Design: An Option-Based Approach
inferred← citeshttps://doi.org/10.1007/s11147-009-9030-9openalex-snapshot
The cross-section of average delta-hedge option returns under stochastic volatility
inferred← citeshttps://doi.org/10.1007/s11147-016-9124-0openalex-snapshot
A bias in the volatility smile
inferred← citeshttps://doi.org/10.1007/s11156-013-0405-5openalex-snapshot
Growth options, option exercise and firms’ systematic risk
inferred← citeshttps://doi.org/10.1007/s11156-020-00951-4openalex-snapshot
Assessing Models of Individual Equity Option Prices
inferred← citeshttps://doi.org/10.1007/s11408-021-00399-zopenalex-snapshot
From innovation to obfuscation: continuous time finance fifty years later
inferred← citeshttps://doi.org/10.1007/s11579-015-0152-6openalex-snapshot
On volatility smile and an investment strategy with out-of-the-money calls
inferred← citeshttps://doi.org/10.1016/b978-0-444-53683-9.00010-4openalex-snapshot
Forecasting with Option-Implied Information
inferred← citeshttps://doi.org/10.1016/j.econlet.2016.12.014openalex-snapshot
Volatility and expected option returns: A note
inferred← citeshttps://doi.org/10.1016/j.eneco.2013.05.019openalex-snapshot
Humps in the volatility structure of the crude oil futures market: New evidence
inferred← citeshttps://doi.org/10.1016/j.eneco.2018.04.026openalex-snapshot
Risk-neutral moments in the crude oil market
inferred← citeshttps://doi.org/10.1016/j.finmar.2009.01.002openalex-snapshot
Option strategies: Good deals and margin calls
inferred← citeshttps://doi.org/10.1016/j.finmar.2014.06.001openalex-snapshot
Macroeconomic uncertainty and the cross-section of option returns
inferred← citeshttps://doi.org/10.1016/j.finmar.2015.05.003openalex-snapshot
Volatility-of-volatility and tail risk hedging returns
inferred← citeshttps://doi.org/10.1016/j.finmar.2015.10.002openalex-snapshot
Learning to smile: Can rational learning explain predictable dynamics in the implied volatility surface?
inferred← citeshttps://doi.org/10.1016/j.finmar.2019.100506openalex-snapshot
Jumps in option prices and their determinants: Real-time evidence from the E-mini S&P 500 options market
inferred← citeshttps://doi.org/10.1016/j.frl.2015.12.010openalex-snapshot
The betting against beta anomaly: Fact or fiction?
inferred← citeshttps://doi.org/10.1016/j.ijforecast.2015.10.004openalex-snapshot
Combining nearest neighbor predictions and model-based predictions of realized variance: Does it pay?
inferred← citeshttps://doi.org/10.1016/j.intfin.2021.101408openalex-snapshot
The Effect of Option-implied Skewness on Delta- and Vega-Hedged Option Returns
inferred← citeshttps://doi.org/10.1016/j.iref.2016.11.002openalex-snapshot
Macroeconomic factors and index option returns
inferred← citeshttps://doi.org/10.1016/j.iref.2017.07.012openalex-snapshot
On profitability of volatility trading on S&P 500 equity index options: The role of trading frictions
inferred← citeshttps://doi.org/10.1016/j.iref.2020.06.010openalex-snapshot
Dynamics of variance risk premium: Evidence from India
inferred← citeshttps://doi.org/10.1016/j.jbankfin.2010.09.024openalex-snapshot
The diversification effects of volatility-related assets
inferred← citeshttps://doi.org/10.1016/j.jbankfin.2012.02.009openalex-snapshot
Asset allocation: How much does model choice matter?
inferred← citeshttps://doi.org/10.1016/j.jbankfin.2015.05.009openalex-snapshot
The role of the variance premium in Jump-GARCH option pricing models
inferred← citeshttps://doi.org/10.1016/j.jbankfin.2015.05.012openalex-snapshot
Riding the swaption curve
inferred← citeshttps://doi.org/10.1016/j.jbankfin.2015.08.018openalex-snapshot
Are classical option pricing models consistent with observed option second-order moments? Evidence from high-frequency data
inferred← citeshttps://doi.org/10.1016/j.jbankfin.2016.02.002openalex-snapshot
Do Investors Follow the Herd in Option Markets?
inferred← citeshttps://doi.org/10.1016/j.jbankfin.2019.05.012openalex-snapshot
Price Discrimination Against Retail Investors: Evidence from Mini Options
inferred← citeshttps://doi.org/10.1016/j.jbankfin.2019.05.013openalex-snapshot
Explaining CDS prices with Merton’s model before and after the Lehman default
inferred← citeshttps://doi.org/10.1016/j.jbankfin.2019.07.011openalex-snapshot
Belief heterogeneity in the option markets and the cross-section of stock returns
inferred← citeshttps://doi.org/10.1016/j.jbankfin.2022.106687openalex-snapshot
Option Returns, Risk Premiums, and Demand Pressure in Energy Markets
inferred← citeshttps://doi.org/10.1016/j.jbankfin.2022.106713openalex-snapshot
The Pricing of Skewness Over Different Return Horizons
inferred← citeshttps://doi.org/10.1016/j.jbankfin.2026.107719openalex-snapshot
Joint valuation of SPX and VIX options by GARCH models with bad and good environments
inferred← citeshttps://doi.org/10.1016/j.jeconom.2014.06.021openalex-snapshot
Bad environments, good environments: A non-Gaussian asymmetric volatility model
inferred← citeshttps://doi.org/10.1016/j.jeconom.2020.03.002openalex-snapshot
The term structure of equity and variance risk premia
inferred← citeshttps://doi.org/10.1016/j.jeconom.2021.08.002openalex-snapshot
A Discrete-Time Hedging Framework with Multiple Factors and Fat Tails: On What Matters
inferred← citeshttps://doi.org/10.1016/j.jeconom.2025.106131openalex-snapshot
Decomposing informed trading in equity options
inferred← citeshttps://doi.org/10.1016/j.jedc.2017.06.007openalex-snapshot
Learning and forecasts about option returns through the volatility risk premium
inferred← citeshttps://doi.org/10.1016/j.jempfin.2015.01.002openalex-snapshot
ABC of SV: Limited information likelihood inference in stochastic volatility jump-diffusion models
inferred← citeshttps://doi.org/10.1016/j.jempfin.2026.101748openalex-snapshot
The cross-section of individual equity option returns
inferred← citeshttps://doi.org/10.1016/j.jfds.2018.05.001openalex-snapshot
Index option returns and systemic equity risk
inferred← citeshttps://doi.org/10.1016/j.jfineco.2010.03.009openalex-snapshot
Returns of claims on the upside and the viability of U-shaped pricing kernels☆
inferred← citeshttps://doi.org/10.1016/j.jfineco.2011.03.015openalex-snapshot
Performance Maximization of Actively Managed Funds
inferred← citeshttps://doi.org/10.1016/j.jfineco.2011.05.007openalex-snapshot
Adding and Subtracting Black-Scholes: A New Approach to Approximating Derivative Prices in Continuous Time Models
inferred← citeshttps://doi.org/10.1016/j.jfineco.2012.03.004openalex-snapshot
U.S. stock market crash risk, 1926–2010
inferred← citeshttps://doi.org/10.1016/j.jfineco.2015.08.015openalex-snapshot
Quadratic Variance Swap Models
inferred← citeshttps://doi.org/10.1016/j.jfineco.2016.01.032openalex-snapshot
News implied volatility and disaster concerns
inferred← citeshttps://doi.org/10.1016/j.jfineco.2016.04.003openalex-snapshot
The price of variance risk
inferred← citeshttps://doi.org/10.1016/j.jfineco.2018.01.010openalex-snapshot
Can financial innovation succeed by catering to behavioral preferences? Evidence from a callable options market
inferred← citeshttps://doi.org/10.1016/j.jfineco.2018.09.008openalex-snapshot
Inferring volatility dynamics and risk premia from the S&P 500 and VIX markets
inferred← citeshttps://doi.org/10.1016/j.jfineco.2018.12.006openalex-snapshot
Why do option returns change sign from day to night?
inferred← citeshttps://doi.org/10.1016/j.jfineco.2020.08.010openalex-snapshot
The Cross-Section of Currency Volatility Premia
inferred← citeshttps://doi.org/10.1016/j.jfineco.2020.08.011openalex-snapshot
Index option returns and generalized entropy bounds
inferred← citeshttps://doi.org/10.1016/j.jfineco.2021.04.030openalex-snapshot
Volatility and the cross-section of returns on FX options
inferred← citeshttps://doi.org/10.1016/j.jfineco.2021.05.030openalex-snapshot
Learning, slowly unfolding disasters, and asset prices
inferred← citeshttps://doi.org/10.1016/j.jfineco.2021.05.053openalex-snapshot
Hedging macroeconomic and financial uncertainty and volatility
inferred← citeshttps://doi.org/10.1016/j.jfineco.2024.103932openalex-snapshot
The risk and return of equity and credit index options
inferred← citeshttps://doi.org/10.1016/j.mulfin.2012.10.005openalex-snapshot
Hedging efficiency in the Greek options market before and after the financial crisis of 2008
inferred← citeshttps://doi.org/10.1016/j.najef.2019.101003openalex-snapshot
Firm characteristics and jump dynamics in stock prices around earnings announcements
inferred← citeshttps://doi.org/10.1016/j.najef.2026.102664openalex-snapshot
Exploring low returns in SSE 50ETF options away from the money: the role of variance and jump risk premiums
inferred← citeshttps://doi.org/10.1017/s002210901000013xopenalex-snapshot
Deviations from Put-Call Parity and Stock Return Predictability
inferred← citeshttps://doi.org/10.1017/s002210901300032xopenalex-snapshot
Predictable Dynamics in Higher-Order Risk-Neutral Moments: Evidence from the S&P 500 Options
inferred← citeshttps://doi.org/10.1017/s0022109016000831openalex-snapshot
Optimal Option Portfolio Strategies: Deepening the Puzzle of Index Option Mispricing
inferred← citeshttps://doi.org/10.1017/s002210901700076xopenalex-snapshot
Equity Volatility Term Structures and the Cross Section of Option Returns
inferred← citeshttps://doi.org/10.1017/s0022109017000825openalex-snapshot
Risk Premia and the VIX Term Structure
inferred← citeshttps://doi.org/10.1017/s0022109018000121openalex-snapshot
Crash Sensitivity and the Cross Section of Expected Stock Returns
inferred← citeshttps://doi.org/10.1017/s0022109019000127openalex-snapshot
Does Unusual News Forecast Market Stress?
inferred← citeshttps://doi.org/10.1017/s0022109019000310openalex-snapshot
Volatility and Expected Option Returns
inferred← citeshttps://doi.org/10.1017/s0022109019000462openalex-snapshot
A Tractable Framework for Option Pricing with Dynamic Market Maker Inventory and Wealth
inferred← citeshttps://doi.org/10.1017/s002210902000023xopenalex-snapshot
Option-Based Estimation of the Price of Coskewness and Cokurtosis Risk
inferred← citeshttps://doi.org/10.1017/s002210902100003xopenalex-snapshot
Maturity Driven Mispricing of Options
inferred← citeshttps://doi.org/10.1017/s0022109022000333openalex-snapshot
The Pricing of Volatility and Jump Risks in the Cross-Section of Index Option Returns
inferred← citeshttps://doi.org/10.1017/s0022109024000309openalex-snapshot
Does the Options Market Underreact to Firms'Left-Tail Risk?
inferred← citeshttps://doi.org/10.1057/978-1-137-44701-2_5openalex-snapshot
Decision-Making, Sub-additive Recursive “Matching” Noise and Biases in Risk-Weighted Stock/Bond Commodity Index Calculation Methods in Incomplete Markets with Partially Observable Multi-attribute Preferences
inferred← citeshttps://doi.org/10.1057/978-1-137-44701-2_6openalex-snapshot
Informationless Trading and Biases in Performance Measurement: Inefficiency of the Sharpe Ratio, Treynor Ratio, Jensen’s Alpha, the Information Ratio and DEA-Based Performance Measures and Related Measures
inferred← citeshttps://doi.org/10.1057/s41260-024-00359-yopenalex-snapshot
Sharpe-optimal volatility futures carry
inferred← citeshttps://doi.org/10.1080/00036846.2020.1866159openalex-snapshot
The implied volatility smirk in SPY options
inferred← citeshttps://doi.org/10.1080/07350015.2018.1505629openalex-snapshot
Learning and Index Option Returns
inferred← citeshttps://doi.org/10.1080/10599231.2022.2145626openalex-snapshot
Determination of Properties of the Benchmark Index through Strangle Option Strategies
inferred← citeshttps://doi.org/10.1080/14697688.2017.1388535openalex-snapshot
A Dynamic Equilibrium Model for U-Shaped Pricing Kernels
inferred← citeshttps://doi.org/10.1093/rapstu/raae005openalex-snapshot
Contingent Claims and Hedging of Credit Risk with Equity Options
inferred← citeshttps://doi.org/10.1093/rapstu/rat004openalex-snapshot
The Puzzle of Index Option Returns
inferred← citeshttps://doi.org/10.1093/rfs/hhae087openalex-snapshot
Can Equity Option Returns Be Explained by a Factor Model? IPCA Says Yes
inferred← citeshttps://doi.org/10.1093/rfs/hhq138openalex-snapshot
Do Peso Problems Explain the Returns to the Carry Trade?
inferred← citeshttps://doi.org/10.1093/rfs/hht033openalex-snapshot
Capturing Option Anomalies with a Variance-Dependent Pricing Kernel
inferred← citeshttps://doi.org/10.1093/rfs/hht039openalex-snapshot
The Skew Risk Premium in the Equity Index Market
inferred← citeshttps://doi.org/10.1093/rfs/hhu020openalex-snapshot
Index Option Returns: Still Puzzling
inferred← citeshttps://doi.org/10.1093/rfs/hhv011openalex-snapshot
Monotonicity of the Stochastic Discount Factor and Expected Option Returns
inferred← citeshttps://doi.org/10.1093/rfs/hhx089openalex-snapshot
The Factor Structure in Equity Options
inferred← citeshttps://doi.org/10.1093/rfs/hhx113openalex-snapshot
Illiquidity Premia in the Equity Options Market
inferred← citeshttps://doi.org/10.1093/rfs/hhy127openalex-snapshot
Cumulative Prospect Theory, Option Returns, and the Variance Premium
inferred← citeshttps://doi.org/10.1093/rfs/hhz105openalex-snapshot
Macroeconomic Tail Risks and Asset Prices
inferred← citeshttps://doi.org/10.1108/03074351311322843openalex-snapshot
A margin requirement based return calculation for portfolios of short option positions
inferred← citeshttps://doi.org/10.1108/sef-07-2016-0164openalex-snapshot
Are covered calls the right option for Australian investors?
inferred← citeshttps://doi.org/10.1111/eufm.12276openalex-snapshot
Shedding light on a dark matter: Jump diffusion and option‐implied investor preferences
inferred← citeshttps://doi.org/10.1111/fima.12309openalex-snapshot
Relevance of the disposition effect on the options market: New evidence
inferred← citeshttps://doi.org/10.1111/j.1540-6261.2011.01695.xopenalex-snapshot
Tails, Fears, and Risk Premia
inferred← citeshttps://doi.org/10.1111/j.1540-6261.2011.01697.xopenalex-snapshot
Disasters Implied by Equity Index Options
inferred← citeshttps://doi.org/10.1111/joes.12481openalex-snapshot
Modeling time‐varying higher‐order conditional moments: A survey
inferred← citeshttps://doi.org/10.1111/jofi.12090openalex-snapshot
Sources of Entropy in Representative Agent Models
inferred← citeshttps://doi.org/10.1111/jofi.12181openalex-snapshot
The Joint Cross Section of Stocks and Options
inferred← citeshttps://doi.org/10.1111/jofi.12390openalex-snapshot
Risk‐Adjusting the Returns to Venture Capital
inferred← citeshttps://doi.org/10.1111/jofi.12406openalex-snapshot
The Price of Political Uncertainty: Theory and Evidence from the Option Market
inferred← citeshttps://doi.org/10.1111/jofi.13172openalex-snapshot
A Theory of Equivalent Expectation Measures for Contingent Claim Returns
inferred← citeshttps://doi.org/10.1111/jofi.13285openalex-snapshot
Retail Trading in Options and the Rise of the Big Three Wholesalers
inferred← citeshttps://doi.org/10.1111/jofi.13324openalex-snapshot
Modeling Conditional Factor Risk Premia Implied by Index Option Returns
inferred← citeshttps://doi.org/10.1111/jofi.70070openalex-snapshot
Do Equity and Options Markets Agree about Volatility?
inferred← citeshttps://doi.org/10.1142/s1793830913500201openalex-snapshot
SUB-ADDITIVE RECURSIVE "MATCHING" NOISE AND BIASES IN RISK-WEIGHTED INDEX CALCULATION METHODS IN INCOMPLETE MARKETS WITH PARTIALLY OBSERVABLE MULTI-ATTRIBUTE PREFERENCES
inferred← citeshttps://doi.org/10.1142/s2010139214500153openalex-snapshot
Why Are Put Options So Expensive?
inferred← citeshttps://doi.org/10.1142/s2345768614500317openalex-snapshot
Accounting for earnings announcements in the pricing of equity options
inferred← citeshttps://doi.org/10.1142/s234576861550004xopenalex-snapshot
Optimal Derivative Liquidation Timing Under Path-Dependent Risk Penalties
inferred← citeshttps://doi.org/10.1145/2553085openalex-snapshot
Multidimensional stochastic approximation
inferred← citeshttps://doi.org/10.1145/3778534.3778622openalex-snapshot
Dynamic Timing and the Cross-Section of Chinese Option Returns: An Adaptive Approach
inferred← citeshttps://doi.org/10.1146/annurev-financial-082123-105456openalex-snapshot
Recent Developments in Financial Risk and the Real Economy
inferred← citeshttps://doi.org/10.1146/annurev-financial-111720-091255openalex-snapshot
Empirical Option Pricing Models
inferred← citeshttps://doi.org/10.1177/0312896214526602openalex-snapshot
Conditional equity risk premia and realized variance jump risk
inferred← citeshttps://doi.org/10.1257/aer.20120389openalex-snapshot
Too-Systemic-to-Fail: What Option Markets Imply about Sector-Wide Government Guarantees
inferred← citeshttps://doi.org/10.1287/mnsc.2017.2867openalex-snapshot
Volatility Uncertainty, Time Decay, and Option Bid-Ask Spreads in an Incomplete Market
inferred← citeshttps://doi.org/10.1287/mnsc.2023.00440openalex-snapshot
The Early Exercise Risk Premium
inferred← citeshttps://doi.org/10.1287/mnsc.2023.03071openalex-snapshot
Stock Return Autocorrelations and Expected Option Returns
inferred← citeshttps://doi.org/10.1287/opre.2022.2360openalex-snapshot
Dark Matter in (Volatility and) Equity Option Risk Premiums
inferred← citeshttps://doi.org/10.15057/27273openalex-snapshot
Essays on Risk Premiums in Higher-Order Moments of Financial Asset Returns
inferred← citeshttps://doi.org/10.1561/104.00000089openalex-snapshot
Mispricing of Index Options with Respect to Stochastic Dominance Bounds?
inferred← citeshttps://doi.org/10.17016/feds.2013.54openalex-snapshot
Volatility of Volatility and Tail Risk Premiums
inferred← citeshttps://doi.org/10.19030/jabr.v32i2.9587openalex-snapshot
Understanding Foreign Exchange Option Returns: The Information Content Of Volatility
inferred← citeshttps://doi.org/10.21314/jois.2013.023openalex-snapshot
When you hedge discretely: optimization of the Sharpe ratio for the Delta-hedging strategy under discrete hedging and transaction costs
inferred← citeshttps://doi.org/10.2139/ssrn.1101399openalex-snapshot
The Optimal Demand for Retail Derivatives
inferred← citeshttps://doi.org/10.2139/ssrn.1340575openalex-snapshot
Expected Option Returns and the Structure of Jump Risk Premia
inferred← citeshttps://doi.org/10.2139/ssrn.1539537openalex-snapshot
Performance Maximization of Actively Managed Funds
inferred← citeshttps://doi.org/10.2139/ssrn.1545783openalex-snapshot
Affine Versus Non-Affine Stochastic Volatility and the Impact on Asset Allocation
inferred← citeshttps://doi.org/10.2139/ssrn.1546389openalex-snapshot
A Markov Chain Quasi-Monte Carlo Method for Bayesian Estimation of Stochastic Volatility Model
inferred← citeshttps://doi.org/10.2139/ssrn.1546422openalex-snapshot
The Cross Section of Jumps around Earnings Announcements
inferred← citeshttps://doi.org/10.2139/ssrn.1569380openalex-snapshot
Optimal Option Portfolio Strategies
inferred← citeshttps://doi.org/10.2139/ssrn.1571700openalex-snapshot
The Skew Risk Premium in the Equity Index Market
inferred← citeshttps://doi.org/10.2139/ssrn.1596287openalex-snapshot
Do Peso Problems Explain the Returns to the Carry Trade?
inferred← citeshttps://doi.org/10.2139/ssrn.1784868openalex-snapshot
Illiquidity Premia in the Equity Options Market
inferred← citeshttps://doi.org/10.2139/ssrn.1863628openalex-snapshot
A Margin Requirement Based Return Calculation for Portfolios of Short Option Positions
inferred← citeshttps://doi.org/10.2139/ssrn.1865998openalex-snapshot
When You Hedge Discretely: Optimization of Sharpe Ratio for Delta-Hedging Strategy under Discrete Hedging and Transaction Costs
inferred← citeshttps://doi.org/10.2139/ssrn.1933617openalex-snapshot
Option-Implied Equity Premia and the Predictability of Stock Market Returns
inferred← citeshttps://doi.org/10.2139/ssrn.1969863openalex-snapshot
Forecasting with Option-Implied Information
inferred← citeshttps://doi.org/10.2139/ssrn.2008902openalex-snapshot
The Joint Cross Section of Stocks and Options
inferred← citeshttps://doi.org/10.2139/ssrn.2011746openalex-snapshot
Crash Sensitivity and the Cross-Section of Expected Stock Returns
inferred← citeshttps://doi.org/10.2139/ssrn.2022405openalex-snapshot
Understanding Equity Option Prices
inferred← citeshttps://doi.org/10.2139/ssrn.2083727openalex-snapshot
Aggregate Volatility and Threshold CAPM
inferred← citeshttps://doi.org/10.2139/ssrn.2088128openalex-snapshot
A Jump-Diffusion Approach for Pricing Exotic Multi-Asset Derivatives
inferred← citeshttps://doi.org/10.2139/ssrn.2091236openalex-snapshot
Valuing American Options Using Fast Recursive Projections
inferred← citeshttps://doi.org/10.2139/ssrn.2116594openalex-snapshot
Does Ambiguity Diversification Pay?
inferred← citeshttps://doi.org/10.2139/ssrn.2136820openalex-snapshot
The Term Structure of Variance Swaps, Risk Premia and the Expectation Hypothesis
inferred← citeshttps://doi.org/10.2139/ssrn.2149265openalex-snapshot
Index Option Returns and Generalized Entropy Bounds
inferred← citeshttps://doi.org/10.2139/ssrn.2224270openalex-snapshot
The Factor Structure in Equity Option Prices
inferred← citeshttps://doi.org/10.2139/ssrn.2236158openalex-snapshot
Volatility of Volatility and Tail Risk Premiums
inferred← citeshttps://doi.org/10.2139/ssrn.2256899openalex-snapshot
Are Classical Option Pricing Models Consistent with Observed Option Second-Order Moments? Evidence from High-Frequency Data
inferred← citeshttps://doi.org/10.2139/ssrn.2258457openalex-snapshot
Combining Nearest Neighbour Predictions and Model based predictions of Realized variance for S&P 100 Options Trading
inferred← citeshttps://doi.org/10.2139/ssrn.2277689openalex-snapshot
Volatility Information in Index Option Demand
inferred← citeshttps://doi.org/10.2139/ssrn.2293630openalex-snapshot
Free (Almost) Variance Insurance
inferred← citeshttps://doi.org/10.2139/ssrn.2296898openalex-snapshot
Bad Environments, Good Environments: A Non-Gaussian Asymmetric Volatility Model
inferred← citeshttps://doi.org/10.2139/ssrn.2309596openalex-snapshot
Risk-Adjusting the Returns to Venture Capital
showing the first 200 of 316 · page through all 316
Editorial review for independent work. ICSAC — the Institute for Complexity
Science and Advanced Computing — runs a structured editorial panel for researchers
publishing outside journals, and publishes on CiteStamp rails. Submission is free
and goes through ORCID: icsacinstitute.org/submit.