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There are 17817 results for: content related to: Expected Option Returns

  1. When Uncertainty Blows in the Orchard: Comovement and Equilibrium Volatility Risk Premia

    The Journal of Finance

    Volume 69, Issue 1, February 2014, Pages: 101–137, ANDREA BURASCHI, FABIO TROJANI and ANDREA VEDOLIN

    Version of Record online : 7 JAN 2014, DOI: 10.1111/jofi.12095

  2. Unspanned Stochastic Volatility: Evidence from Hedging Interest Rate Derivatives

    The Journal of Finance

    Volume 61, Issue 1, February 2006, Pages: 341–378, HAITAO LI and FENG ZHAO

    Version of Record online : 20 JAN 2006, DOI: 10.1111/j.1540-6261.2006.00838.x

  3. Volatility Information Trading in the Option Market

    The Journal of Finance

    Volume 63, Issue 3, June 2008, Pages: 1059–1091, SOPHIE X. NI, JUN PAN and ALLEN M. POTESHMAN

    Version of Record online : 9 MAY 2008, DOI: 10.1111/j.1540-6261.2008.01352.x

  4. Hedging in the Possible Presence of Unspanned Stochastic Volatility: Evidence from Swaption Markets

    The Journal of Finance

    Volume 58, Issue 5, October 2003, Pages: 2219–2248, Rong Fan, Anurag Gupta and Peter Ritchken

    Version of Record online : 11 SEP 2003, DOI: 10.1111/1540-6261.00603

  5. Do Bonds Span the Fixed Income Markets? Theory and Evidence for Unspanned Stochastic Volatility

    The Journal of Finance

    Volume 57, Issue 4, August 2002, Pages: 1685–1730, Pierre Collin-Dufresne and Robert S. Goldstein

    Version of Record online : 17 DEC 2002, DOI: 10.1111/1540-6261.00475

  6. The Price of Correlation Risk: Evidence from Equity Options

    The Journal of Finance

    Volume 64, Issue 3, June 2009, Pages: 1377–1406, JOOST DRIESSEN, PASCAL J. MAENHOUT and GRIGORY VILKOV

    Version of Record online : 20 MAY 2009, DOI: 10.1111/j.1540-6261.2009.01467.x

  7. Aggregate Jump and Volatility Risk in the Cross-Section of Stock Returns

    The Journal of Finance

    Volume 70, Issue 2, April 2015, Pages: 577–614, MARTIJN CREMERS, MICHAEL HALLING and DAVID WEINBAUM

    Version of Record online : 12 MAR 2015, DOI: 10.1111/jofi.12220

  8. Path Dependent Options: “Buy at the Low, Sell at the High”

    The Journal of Finance

    Volume 34, Issue 5, December 1979, Pages: 1111–1127, M. BARRY GOLDMAN, HOWARD B. SOSIN and MARY ANN GATTO

    Version of Record online : 30 APR 2012, DOI: 10.1111/j.1540-6261.1979.tb00059.x

  9. Do Inventories Matter in Dealership Markets? Evidence from the London Stock Exchange

    The Journal of Finance

    Volume 53, Issue 5, October 1998, Pages: 1623–1656, Oliver Hansch, Narayan Y. Naik and S. Viswanathan

    Version of Record online : 17 DEC 2002, DOI: 10.1111/0022-1082.00067

  10. Carry Trades and Global Foreign Exchange Volatility

    The Journal of Finance

    Volume 67, Issue 2, April 2012, Pages: 681–718, LUKAS MENKHOFF, LUCIO SARNO, MAIK SCHMELING and ANDREAS SCHRIMPF

    Version of Record online : 27 MAR 2012, DOI: 10.1111/j.1540-6261.2012.01728.x

  11. THE VALUATION OF OPTION CONTRACTS AND A TEST OF MARKET EFFICIENCY

    The Journal of Finance

    Volume 27, Issue 2, May 1972, Pages: 399–417, Jerome B. Cohen, Fischer Black and Myron Scholes

    Version of Record online : 30 APR 2012, DOI: 10.1111/j.1540-6261.1972.tb00969.x

  12. Stock Options as Lotteries

    The Journal of Finance

    Volume 69, Issue 4, August 2014, Pages: 1485–1527, BRIAN H. BOYER and KEITH VORKINK

    Version of Record online : 18 JUL 2014, DOI: 10.1111/jofi.12152

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    Investor Psychology and Security Market Under- and Overreactions

    The Journal of Finance

    Volume 53, Issue 6, December 1998, Pages: 1839–1885, Kent Daniel, David Hirshleifer and Avanidhar Subrahmanyam

    Version of Record online : 17 DEC 2002, DOI: 10.1111/0022-1082.00077

  14. Volatility, the Macroeconomy, and Asset Prices

    The Journal of Finance

    Volume 69, Issue 6, December 2014, Pages: 2471–2511, RAVI BANSAL, DANA KIKU, IVAN SHALIASTOVICH and AMIR YARON

    Version of Record online : 10 NOV 2014, DOI: 10.1111/jofi.12110

  15. Information Effects on the Bid-Ask Spread

    The Journal of Finance

    Volume 38, Issue 5, December 1983, Pages: 1457–1469, THOMAS E. COPELAND and DAN GALAI

    Version of Record online : 30 APR 2012, DOI: 10.1111/j.1540-6261.1983.tb03834.x

  16. The Profitability of Volatility Spread Trading on ASX Equity Options

    Journal of Futures Markets

    Volume 36, Issue 2, February 2016, Pages: 107–126, Binh Huu Do, Anthony Foster and Philip Gray

    Version of Record online : 22 APR 2015, DOI: 10.1002/fut.21729

  17. The Cost of Capital for Alternative Investments

    The Journal of Finance

    Volume 70, Issue 5, October 2015, Pages: 2185–2226, JAKUB W. JUREK and ERIK STAFFORD

    Version of Record online : 3 SEP 2015, DOI: 10.1111/jofi.12269

  18. PUTS AND CALLS: A FACTUAL SURVEY

    The Journal of Finance

    Volume 13, Issue 1, March 1958, Pages: 21–34, Charles B. Franklin and Marshall R. Colberg

    Version of Record online : 30 APR 2012, DOI: 10.1111/j.1540-6261.1958.tb04169.x

  19. Liquidity of the CBOE Equity Options

    The Journal of Finance

    Volume 45, Issue 4, September 1990, Pages: 1157–1179, ANAND M. VIJH

    Version of Record online : 30 APR 2012, DOI: 10.1111/j.1540-6261.1990.tb02431.x

  20. Option Market Efficiency and Analyst Recommendations

    Journal of Business Finance & Accounting

    Volume 37, Issue 5-6, June/July 2010, Pages: 560–590, James S. Doran, Andy Fodor and Kevin Krieger

    Version of Record online : 19 FEB 2010, DOI: 10.1111/j.1468-5957.2010.02189.x