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There are 44795 results for: content related to: Option implied cost of equity and its properties

  1. What moves option-implied bond market expectations?

    Journal of Futures Markets

    Volume 25, Issue 9, September 2005, Pages: 817–843, Sami Vähämaa, Sebastian Watzka and Janne Äijö

    Article first published online : 5 JUL 2005, DOI: 10.1002/fut.20164

  2. Optimum futures hedge in the presence of clustered supply and demand shocks, stochastic basis, and firm's costs of hedging

    Journal of Futures Markets

    Volume 23, Issue 12, December 2003, Pages: 1209–1237, Carolyn W. Chang and Jack S. K. Chang

    Article first published online : 20 OCT 2003, DOI: 10.1002/fut.10106

  3. Information content of volatility spreads

    Journal of Futures Markets

    Volume 30, Issue 6, June 2010, Pages: 533–558, Byung Jin Kang, Tong Suk Kim and Sun-Joong Yoon

    Article first published online : 31 AUG 2009, DOI: 10.1002/fut.20432

  4. The Valuation of Options with Restrictions on Preferences and Distributions

    Journal of Futures Markets

    Volume 21, Issue 12, December 2001, Pages: 1091–1117, António Câmara

    Article first published online : 5 OCT 2001, DOI: 10.1002/fut.2201

  5. Option-Implied Preference with Model Uncertainty

    Journal of Futures Markets

    Byung Jin Kang, Tong Suk Kim and Hyo Seob Lee

    Article first published online : 3 MAR 2014, DOI: 10.1002/fut.21660

  6. What moves the tail? The determinants of the option-implied probability density function of the DAX index

    Journal of Futures Markets

    Volume 25, Issue 6, June 2005, Pages: 515–536, Ernst Glatzer and Martin Scheicher

    Article first published online : 8 APR 2005, DOI: 10.1002/fut.20157

  7. Nonlinear Pricing Kernels, Kurtosis Preference, and Evidence from the Cross Section of Equity Returns

    The Journal of Finance

    Volume 57, Issue 1, February 2002, Pages: 369–403, Robert F. Dittmar

    Article first published online : 17 DEC 2002, DOI: 10.1111/1540-6261.00425

  8. Migration of price discovery in semiregulated derivatives markets

    Journal of Futures Markets

    Volume 26, Issue 3, March 2006, Pages: 209–241, Anthony D. Hall, Paul Kofman and Steven Manaster

    Article first published online : 9 JAN 2006, DOI: 10.1002/fut.20188

  9. The hidden martingale restriction in Gram-Charlier option prices

    Journal of Futures Markets

    Volume 27, Issue 6, June 2007, Pages: 517–534, Charles Corrado

    Article first published online : 4 APR 2007, DOI: 10.1002/fut.20255

  10. Derivative pricing model and time-series approaches to hedging: A comparison

    Journal of Futures Markets

    Volume 25, Issue 7, July 2005, Pages: 613–641, Henry L. Bryant and Michael S. Haigh

    Article first published online : 9 MAY 2005, DOI: 10.1002/fut.20163

  11. Is volatility risk priced in the KOSPI 200 index options market?

    Journal of Futures Markets

    Volume 29, Issue 9, September 2009, Pages: 797–825, Sun-Joong Yoon and Suk Joon Byun

    Article first published online : 14 JUL 2009, DOI: 10.1002/fut.20386

  12. Disasters Implied by Equity Index Options

    The Journal of Finance

    Volume 66, Issue 6, December 2011, Pages: 1969–2012, DAVID BACKUS, MIKHAIL CHERNOV and IAN MARTIN

    Article first published online : 14 NOV 2011, DOI: 10.1111/j.1540-6261.2011.01697.x

  13. Pricing VIX futures: Evidence from integrated physical and risk-neutral probability measures

    Journal of Futures Markets

    Volume 27, Issue 12, December 2007, Pages: 1175–1217, Yueh-Neng Lin

    Article first published online : 9 OCT 2007, DOI: 10.1002/fut.20291

  14. The forecast quality of CBOE implied volatility indexes

    Journal of Futures Markets

    Volume 25, Issue 4, April 2005, Pages: 339–373, Charles J. Corrado and Thomas W. Miller, Jr.

    Article first published online : 31 JAN 2005, DOI: 10.1002/fut.20148

  15. Is volatility risk priced in the securities market? Evidence from S&P 500 index options

    Journal of Futures Markets

    Volume 27, Issue 7, July 2007, Pages: 617–642, Yakup Eser Arisoy, Aslihan Salih and Levent Akdeniz

    Article first published online : 31 MAY 2007, DOI: 10.1002/fut.20242

  16. Explaining credit default swap premia

    Journal of Futures Markets

    Volume 24, Issue 1, January 2004, Pages: 71–92, Christoph Benkert

    Article first published online : 11 NOV 2003, DOI: 10.1002/fut.10112

  17. The drift factor in biased futures index pricing models: A new look

    Journal of Futures Markets

    Volume 22, Issue 6, June 2002, Pages: 579–598, W. Brian Barrett and Thomas B. Sanders

    Article first published online : 3 APR 2002, DOI: 10.1002/fut.10025

  18. Idiosyncratic Consumption Risk and the Cross Section of Asset Returns

    The Journal of Finance

    Volume 59, Issue 5, October 2004, Pages: 2211–2252, KRIS JACOBS and KEVIN Q. WANG

    Article first published online : 27 NOV 2005, DOI: 10.1111/j.1540-6261.2004.00697.x

  19. Volatility Risk Premium, Risk Aversion, and the Cross-Section of Stock Returns

    Financial Review

    Volume 45, Issue 4, November 2010, Pages: 1079–1100, Peter Nyberg and Anders Wilhelmsson

    Article first published online : 11 OCT 2010, DOI: 10.1111/j.1540-6288.2010.00286.x

  20. Turn-of-the-month and intramonth effects: Explanation from the important macroeconomic news announcements

    Journal of Futures Markets

    Volume 27, Issue 2, February 2007, Pages: 105–126, Jussi Nikkinen, Petri Sahlström and Janne Äijö

    Article first published online : 7 DEC 2006, DOI: 10.1002/fut.20244