Search Results

There are 3003930 results for: content related to: Overreactions in the Options Market

  1. The Information Content of OTC Individual Put Option Implied Volatility for Credit Default Swap Spreads

    Asia-Pacific Journal of Financial Studies

    Volume 41, Issue 4, August 2012, Pages: 491–516, Yuen Jung Park and Tong Suk Kim

    Article first published online : 20 AUG 2012, DOI: 10.1111/j.2041-6156.2012.01080.x

  2. Empirical Comparison of Alternative Implied Volatility Measures of the Forecasting Performance of Future Volatility

    Asia-Pacific Journal of Financial Studies

    Volume 41, Issue 1, February 2012, Pages: 103–124, Dong Woo Rhee, Suk Joon Byun and Sol Kim

    Article first published online : 9 FEB 2012, DOI: 10.1111/j.2041-6156.2011.01066.x

  3. Impact of WASDE reports on implied volatility in corn and soybean markets

    Agribusiness

    Volume 24, Issue 4, October 2008, Pages: 473–490, Olga Isengildina-Massa, Scott H. Irwin, Darrel L. Good and Jennifer K. Gomez

    Article first published online : 17 OCT 2008, DOI: 10.1002/agr.20174

  4. You have free access to this content
    Does the option market produce superior forecasts of noise-corrected volatility measures?

    Journal of Applied Econometrics

    Volume 24, Issue 1, January/February 2009, Pages: 77–104, Gael M. Martin, Andrew Reidy and Jill Wright

    Article first published online : 4 DEC 2008, DOI: 10.1002/jae.1033

  5. Business Cycles and Net Buying Pressure in the S&P 500 Futures Options

    European Financial Management

    Volume 16, Issue 4, September 2010, Pages: 624–657, Kam C. Chan, Carl R. Chen and Peter P. Lung

    Article first published online : 19 AUG 2010, DOI: 10.1111/j.1468-036X.2008.00477.x

  6. Predicting financial volatility: High-frequency time-series forecasts vis-à-vis implied volatility

    Journal of Futures Markets

    Volume 24, Issue 11, November 2004, Pages: 1005–1028, Martin Martens and Jason Zein

    Article first published online : 25 AUG 2004, DOI: 10.1002/fut.20126

  7. 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

  8. Implied Volatility in Options Markets and Conditional Heteroscedasticity in Stock Markets

    Financial Review

    Volume 27, Issue 4, November 1992, Pages: 503–530, Seungmook Choi and Mark E. Wohar

    Article first published online : 9 MAR 2005, DOI: 10.1111/j.1540-6288.1992.tb01329.x

  9. Implied volatility forecasts in the grains complex

    Journal of Futures Markets

    Volume 22, Issue 10, October 2002, Pages: 959–981, David P. Simon

    Article first published online : 13 AUG 2002, DOI: 10.1002/fut.10042

  10. Robustly Hedging Variable Annuities With Guarantees Under Jump and Volatility Risks

    Journal of Risk and Insurance

    Volume 74, Issue 2, June 2007, Pages: 347–376, T. F. Coleman, Y. Kim, Y. Li and M. Patron

    Article first published online : 16 MAY 2007, DOI: 10.1111/j.1539-6975.2007.00216.x

  11. Exploring Forecast Error and the Informational Content of Implied Volatility in the Taiwan Market

    Asia-Pacific Journal of Financial Studies

    Volume 41, Issue 5, October 2012, Pages: 590–609, Yen-Hsien Lee, Chi-Tai Lin and Shu-Mei Chiang

    Article first published online : 18 OCT 2012, DOI: 10.1111/j.2041-6156.2012.01083.x

  12. S&P 100 Index Option Volatility

    The Journal of Finance

    Volume 46, Issue 4, September 1991, Pages: 1551–1561, CAMPBELL R. HARVEY and ROBERT E. WHALEY

    Article first published online : 30 APR 2012, DOI: 10.1111/j.1540-6261.1991.tb04631.x

  13. Implied volatility smiles, option mispricing and net buying pressure: evidence around the global financial crisis

    Accounting & Finance

    Volume 52, Issue 1, March 2012, Pages: 47–69, J. Larkin, A. Brooksby, C. T. Lin and R. Zurbruegg

    Article first published online : 19 APR 2011, DOI: 10.1111/j.1467-629X.2011.00419.x

  14. 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

    Article first published online : 19 FEB 2010, DOI: 10.1111/j.1468-5957.2010.02189.x

  15. Who knows more about future currency volatility?

    Journal of Futures Markets

    Volume 29, Issue 3, March 2009, Pages: 270–295, Charlie Charoenwong, Nattawut Jenwittayaroje and Buen Sin Low

    Article first published online : 7 JAN 2009, DOI: 10.1002/fut.20351

  16. ASYMPTOTICS OF IMPLIED VOLATILITY IN LOCAL VOLATILITY MODELS

    Mathematical Finance

    Volume 22, Issue 4, October 2012, Pages: 591–620, Jim Gatheral, Elton P. Hsu, Peter Laurence, Cheng Ouyang and Tai-Ho Wang

    Article first published online : 5 DEC 2010, DOI: 10.1111/j.1467-9965.2010.00472.x

  17. Does Net Buying Pressure Affect the Shape of Implied Volatility Functions?

    The Journal of Finance

    Volume 59, Issue 2, April 2004, Pages: 711–753, Nicolas P. B. Bollen and Robert E. Whaley

    Article first published online : 25 MAR 2004, DOI: 10.1111/j.1540-6261.2004.00647.x

  18. Do the options markets really overreact?

    Journal of Futures Markets

    Volume 13, Issue 3, May 1993, Pages: 299–312, Fernando Diz and Thomas J. Finucane

    Article first published online : 28 AUG 2006, DOI: 10.1002/fut.3990130306

  19. The forecasting performance of implied volatility from live cattle options contracts: Implications for agribusiness risk management

    Agribusiness

    Volume 20, Issue 2, Spring 2004, Pages: 217–230, Mark R. Manfredo and Dwight R. Sanders

    Article first published online : 5 APR 2004, DOI: 10.1002/agr.20003

  20. Stock return dynamics, option volume, and the information content of implied volatility

    Journal of Futures Markets

    Volume 23, Issue 7, July 2003, Pages: 615–646, Stewart Mayhew and Chris Stivers

    Article first published online : 22 MAY 2003, DOI: 10.1002/fut.10084