SZodixStudyAcademic Library
ShelvesOpen access
Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated
An Empirical Portfolio Perspective on Option Pricing Anomalies
16 references·16 citing·29 second hopsampled
An Empirical Portfolio Perspective on Option Pricing Anomalies (2007)An Empirical Portfolio Perspective on Opt…“Options, Futures, and Other Derivatives” (2016)“Options, Futures, and Other …The Impact of Jumps in Volatility and Returns (2003)The Impact of Jumps in Volati…Options, Futures and Other Derivatives (2003)Options, Futures and Other De…The jump-risk premia implicit in options: evidence from an integrated time-series study (2002)The jump-risk premia implicit…Strategic Asset Allocation (2002)Strategic Asset AllocationProspect Theory and Asset Prices (2001)Prospect Theory and Asset Pri…Empirical Performance of Alternative Option Pricing Models (1997)Empirical Performance of Alte…Empirical Characteristics of Dynamic Trading Strategies: The Case of Hedge Funds (1997)Empirical Characteristics of …Myopic Loss Aversion and the Equity Premium Puzzle (1995)Myopic Loss Aversion and the …Myopic Loss Aversion and the Equity Premium Puzzle (1993)Myopic Loss Aversion and the …Advances in prospect theory: Cumulative representation of uncertainty (1992)Advances in prospect theory: …A Theory of Disappointment Aversion (1991)A Theory of Disappointment Av…Prospect theory: An analysis of decision under risk (1988)Prospect theory: An analysis …The Dual Theory of Choice under Risk (1987)The Dual Theory of Choice und…A theory of anticipated utility (1982)A theory of anticipated utili…Prospect Theory: An Analysis of Decision under Risk (1979)Prospect Theory: An Analysis …Volatility and Expected Option Returns (2019)Volatility and Expected Optio…They're back! Post-financialization diversification benefits of commodities (2019)They're back! Post-financiali…Do Hedge Funds Exploit Rare Disaster Concerns? (2018)Do Hedge Funds Exploit Rare D…Cumulative Prospect Theory, Option Returns, and the Variance Premium (2018)Cumulative Prospect Theory, O…Optimal Option Portfolio Strategies: Deepening the Puzzle of Index Option Mispricing (2017)Optimal Option Portfolio Stra…How does the market variance risk premium vary over time? Evidence from S&P 500 variance swap investment returns (2015)How does the market variance …The world price of jump and volatility risk (2012)The world price of jump and v…The performance of model based option trading strategies (2012)The performance of model base…Market Timing with Option-Implied Distributions: A Forward-Looking Approach (2011)Market Timing with Option-Imp…Are Options on Index Futures Profitable for Risk‐Averse Investors? Empirical Evidence (2011)Are Options on Index Futures …Explaining Asset Pricing Puzzles Associated with the 1987 Market Crash (2010)Explaining Asset Pricing Puzz…Narrow framing: Professions, sophistication, and experience (2009)Narrow framing: Professions, …Investment horizon and the attractiveness of investment strategies: A behavioral approach (2009)Investment horizon and the at…Modeling and Forecasting the VIX Index (2007)Modeling and Forecasting the …Option Strategies: Good Deals and Margin Calls (2005)Option Strategies: Good Deals…Explaining the Level of Credit Spreads: Option-Implied Jump Risk Premia in a Firm Value Model (2005)Explaining the Level of Credi…Status quo bias in decision making (1988)Do Investors Trade Too Much? (1999)Familiarity Breeds Investment (2001)Investor Psychology and Asset Pricing (2001)Judgment under Uncertainty: Heuristics and Biases (1975)Loss Aversion in Riskless Choice: A Reference-Dependent Model (1991)Individual differences in reasoning: Implications for the rationality debate? (2000)A perspective on judgment and choice: Mapping bounded rationality. (2003)RATIONAL CHOICE AND THE FRAMING OF DECISIONS (1988)Theory of games and economic behavior (2019)Substitution, Risk Aversion, and the Temporal Behavior of Consumption and Asset Returns: A Theoretical Framework (1989)Subjective probability and expected utility without additivity (2004)The Pricing of Options and Corporate Liabilities (1973)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)Transform Analysis and Asset Pricing for Affine Jump-diffusions (2000)Modeling and Forecasting Realized Volatility (2003)Analysis of Financial Time Series (2006)Risk, Ambiguity, and the Savage Axioms (1961)Exploration and Exploitation in Organizational Learning (1991)Explicating dynamic capabilities: the nature and microfoundations of (sustainable) enterprise performance (2007)The Framing of Decisions and the Psychology of Choice (1981)Fairness and Retaliation: The Economics of Reciprocity (2000)Presidential Address: Discount Rates (2011)An Engine, Not a Camera (2006)Facts and Fantasies about Commodity Futures (2006)Introductory Econometrics for Finance (2008)Arbitrage Theory in Continuous Time (1998)A critical review on supply chain risk – Definition, measure and modeling (2014)
this work references cited by second hop· second hop is a sample of the most-cited connections

References

  • 1979Prospect Theory: An Analysis of Decision under Risk48,459 cited
  • 1988Prospect theory: An analysis of decision under risk32,475 cited
  • 1992Advances in prospect theory: Cumulative representation of uncertainty15,457 cited
  • 2016“Options, Futures, and Other Derivatives”5,007 cited
  • 2003Options, Futures and Other Derivatives3,864 cited
  • 1982A theory of anticipated utility3,136 cited
  • 1997Empirical Performance of Alternative Option Pricing Models2,708 cited
  • 1995Myopic Loss Aversion and the Equity Premium Puzzle2,486 cited
  • 1987The Dual Theory of Choice under Risk2,426 cited
  • 2001Prospect Theory and Asset Prices1,876 cited
  • 1993Myopic Loss Aversion and the Equity Premium Puzzle1,799 cited
  • 2002The jump-risk premia implicit in options: evidence from an integrated time-series study1,657 cited
  • 2003The Impact of Jumps in Volatility and Returns1,469 cited
  • 1991A Theory of Disappointment Aversion1,343 cited
  • 2002Strategic Asset Allocation1,279 cited
  • 1997Empirical Characteristics of Dynamic Trading Strategies: The Case of Hedge Funds

Only edges whose both ends are imported exist here. Widen the year window, or show the whole map. Back to the work

1,262 cited

Cited by

  • 2011Market Timing with Option-Implied Distributions: A Forward-Looking Approach126 cited
  • 2018Do Hedge Funds Exploit Rare Disaster Concerns?102 cited
  • 2010Explaining Asset Pricing Puzzles Associated with the 1987 Market Crash87 cited
  • 2011Are Options on Index Futures Profitable for Risk‐Averse Investors? Empirical Evidence82 cited
  • 2009Investment horizon and the attractiveness of investment strategies: A behavioral approach75 cited
  • 2018Cumulative Prospect Theory, Option Returns, and the Variance Premium71 cited
  • 2019Volatility and Expected Option Returns70 cited
  • 2012The world price of jump and volatility risk55 cited
  • 2005Explaining the Level of Credit Spreads: Option-Implied Jump Risk Premia in a Firm Value Model50 cited
  • 2017Optimal Option Portfolio Strategies: Deepening the Puzzle of Index Option Mispricing47 cited
  • 2005Option Strategies: Good Deals and Margin Calls36 cited
  • 2019They're back! Post-financialization diversification benefits of commodities33 cited
  • 2015How does the market variance risk premium vary over time? Evidence from S&P 500 variance swap investment returns32 cited
  • 2007Modeling and Forecasting the VIX Index32 cited
  • 2009Narrow framing: Professions, sophistication, and experience29 cited
  • 2012The performance of model based option trading strategies25 cited