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Earnings announcements and equity options
16 references·2 citing·31 second hop
Earnings announcements and equity options (2004)Earnings announcements and equity optionsTheory of rational option pricing (2005)Theory of rational option pri…Econometrics of Testing for Jumps in Financial Economics Using Bipower Variation (2005)Econometrics of Testing for J…Do Stock Prices and Volatility Jump? Reconciling Evidence from Spot and Option Prices (2004)Do Stock Prices and Volatilit…Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange (2003)Micro Effects of Macro Announ…The jump-risk premia implicit in options: evidence from an integrated time-series study (2002)The jump-risk premia implicit…Transform Analysis and Asset Pricing for Affine Jump-diffusions (2000)Transform Analysis and Asset …The Investor Fear Gauge (2000)The Investor Fear GaugeDeutsche Mark–Dollar Volatility: Intraday Activity Patterns, Macroeconomic Announcements, and Longer Run Dependencies (1998)Deutsche Mark–Dollar Volatili…Empirical Performance of Alternative Option Pricing Models (1997)Empirical Performance of Alte…Jumps and Stochastic Volatility: Exchange Rate Processes Implicit in Deutsche Mark Options (1996)Jumps and Stochastic Volatili…Valuation and Clean Surplus Accounting for Operating and Financial Activities* (1995)Valuation and Clean Surplus A…Earnings, Book Values, and Dividends in Equity Valuation* (1995)Earnings, Book Values, and Di…A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)A Closed-Form Solution for Op…The Pricing of Options on Assets with Stochastic Volatilities (1987)The Pricing of Options on Ass…Option pricing when underlying stock returns are discontinuous (1976)Option pricing when underlyin…An Empirical Evaluation of Accounting Income Numbers (1968)An Empirical Evaluation of Ac…Learning in Financial Markets (2009)Learning in Financial MarketsThe Impact of Overnight Periods on Option Pricing (2007)The Impact of Overnight Perio…EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)The Pricing of Options and Corporate Liabilities (1973)Theory of Rational Option Pricing (1973)A Theory of the Term Structure of Interest Rates (1985)The Cross‐Section of Volatility and Expected Returns (2006)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Using daily stock returns (1985)Efficient Capital Markets: II (1991)The Cost of Capital, Corporation Finance and the Theory of Investment (1958)Dividend Policy, Growth, and the Valuation of Shares (1961)The Theory and Measurement of Business Income (1961)Capital markets research in accounting (2001)Does Corporate Social Responsibility Affect the Cost of Capital? (2010)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Modeling and Forecasting Realized Volatility (2003)Analysis of Financial Time Series (2006)Toward an Implied Cost of Capital (2001)Expected EPS and EPS Growth as Determinantsof Value (2005)The cost of capital, corporation finance and the theory of investment (2008)An equilibrium characterization of the term structure (1977)Non-Gaussian Ornstein–Uhlenbeck-based Models and Some of Their Uses in Financial Economics (2001)A Jump-Diffusion Model for Option Pricing (2002)Corporate Yield Spreads: Default Risk or Liquidity? New Evidence from the Credit Default Swap Market (2004)Measuring and Testing the Impact of News on Volatility (1993)Introductory Econometrics for Finance (2008)Option pricing: A simplified approach (1979)The Value of Waiting to Invest (1982)The Variance Gamma Process and Option Pricing (1998)Option valuation using the fast Fourier transform (1999)The Impact of Jumps in Volatility and Returns (2003)
this work references cited by second hop

References

  • 1993A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options8,768 cited
  • 2005Theory of rational option pricing7,161 cited
  • 1968An Empirical Evaluation of Accounting Income Numbers6,384 cited
  • 1976Option pricing when underlying stock returns are discontinuous5,965 cited
  • 1995Earnings, Book Values, and Dividends in Equity Valuation*5,061 cited
  • 1987The Pricing of Options on Assets with Stochastic Volatilities3,864 cited
  • 2000Transform Analysis and Asset Pricing for Affine Jump-diffusions2,789 cited
  • 1997Empirical Performance of Alternative Option Pricing Models2,708 cited
  • 1996Jumps and Stochastic Volatility: Exchange Rate Processes Implicit in Deutsche Mark Options2,272 cited
  • 1995Valuation and Clean Surplus Accounting for Operating and Financial Activities*2,224 cited
  • 2002The jump-risk premia implicit in options: evidence from an integrated time-series study1,657 cited
  • 2003Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange1,377 cited
  • 2005Econometrics of Testing for Jumps in Financial Economics Using Bipower Variation1,346 cited
  • 1998Deutsche Mark–Dollar Volatility: Intraday Activity Patterns, Macroeconomic Announcements, and Longer Run Dependencies1,186 cited

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  • 2004Do Stock Prices and Volatility Jump? Reconciling Evidence from Spot and Option Prices1,116 cited
  • 2000The Investor Fear Gauge1,097 cited
  • Cited by

    • 2009Learning in Financial Markets31 cited
    • 2007The Impact of Overnight Periods on Option Pricing28 cited