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ArticleDoes information drive trading in option strategies?

Rüdiger Fahlenbrach2010

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Articlegreen2010

Does information drive trading in option strategies?

Rüdiger Fahlenbrach · Patrik Vilhelm Sandas

41 citations·0/0 files stored·Journal of Banking & Finance

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Financial Markets and Investment Strategies Stochastic processes and financial applications Financial Risk and Volatility Modeling

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References

2016“Options, Futures, and Other Derivatives”2003Options, Futures and Other Derivatives 1991Inferring Trade Direction from Intraday Data 1980The Extreme Value Method for Estimating the Variance of the Rate of Return 1990Heteroskedasticity in Stock Return Data: Volume versus GARCH Effects 2001Expected Option Returns 2008Volatility Information Trading in the Option Market 2000An Introduction to Derivatives and Risk Management

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2020The impact of net buying pressure on index options prices 2018Who has volatility information in the index options market?2021Informed options trading around holidays 2019Volatility information trading in the index options market: An intraday analysis

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Year2010

Typearticle

Published2010-03-04

VenueJournal of Banking & Finance

ISSN-L0378-4266

Languageen

Citations41

Files0 public / 0

ShelfFinancial Markets and Investment Strategies

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doi10.1016/j.jbankfin.2010.02.027

openalex_workW2011463328

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