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What Do We Know About Individual Equity Options?
16 references·0 citing·46 second hopsampled
What Do We Know About Individual Equity Options? (2019)What Do We Know About Individual Equity O…What Does the Individual Option Volatility Smirk Tell Us About Future Equity Returns? (2010)What Does the Individual Opti…Ex Ante Skewness and Expected Stock Returns (2009)Ex Ante Skewness and Expected…The Information in Option Volume for Future Stock Prices (2006)The Information in Option Vol…Informed Trading in Stock and Option Markets (2004)Informed Trading in Stock and…Stock Return Characteristics, Skew Laws, and the Differential Pricing of Individual Equity Options (2002)Stock Return Characteristics,…Expected Option Returns (2001)Expected Option ReturnsSpanning and derivative-security valuation (2000)Spanning and derivative-secur…Option Prices, Implied Price Processes, and Stochastic Volatility (2000)Option Prices, Implied Price …The relation between implied and realized volatility (1998)The relation between implied …Option Volume and Stock Prices: Evidence on Where Informed Traders Trade (1998)Option Volume and Stock Price…One Day in the Life of a Very Common Stock (1997)One Day in the Life of a Very…Liquidity, Information, and Infrequently Traded Stocks (1996)Liquidity, Information, and I…Nonparametric Tests of Alternative Option Pricing Models Using All Reported Trades and Quotes on the 30 Most Active CBOE Option Classes from August 23, 1976 Through August 31, 1978 (1985)Nonparametric Tests of Altern…STANDARD DEVIATIONS OF STOCK PRICE RATIOS IMPLIED IN OPTION PRICES (1976)STANDARD DEVIATIONS OF STOCK …The Pricing of Options and Corporate Liabilities (1973)The Pricing of Options and Co…EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)EFFICIENT CAPITAL MARKETS: A …Specification Tests in Econometrics (1978)Generalized autoregressive conditional heteroskedasticity (1986)Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts (1998)The distribution of realized stock return volatility (2001)Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models (2002)The Cost of Capital, Corporation Finance and the Theory of Investment (1958)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)Theory of rational option pricing (2005)The Pricing of Options on Assets with Stochastic Volatilities (1987)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)Non-Gaussian Ornstein–Uhlenbeck-based Models and Some of Their Uses in Financial Economics (2001)Variance Risk Premiums (2008)Expected Stock Returns and Variance Risk Premia (2009)Risk, Return, and Equilibrium: Empirical Tests (1973)The Cross-Section of Expected Stock Returns (1992)Which Shorts Are Informed? (2007)Stocks as Lotteries: The Implications of Probability Weighting for Security Prices (2008)Tail Risk and Asset Prices (2014)Bid, ask and transaction prices in a specialist market with heterogeneously informed traders (1985)Continuous Auctions and Insider Trading (1985)Asset pricing and the bid-ask spread (1986)Liquidity and stock returns: An alternative test (1998)Is Information Risk a Determinant of Asset Returns? (2002)Information and the Cost of Capital (2004)The Behavior of Stock-Market Prices (1965)The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets (1965)Users of the world, unite! The challenges and opportunities of Social Media (2009)Investigating Causal Relations by Econometric Models and Cross-spectral Methods (1969)Inferring Trade Direction from Intraday Data (1991)The High‐Volume Return Premium (2001)Demand-Based Option Pricing (2005)Prospect Theory: An Analysis of Decision under Risk (1979)Prospect theory: An analysis of decision under risk (1988)Estimating Standard Errors in Finance Panel Data Sets: Comparing Approaches (2006)Risk, Uncertainty and Monetary Policy (2011)Firm‐Level Climate Change Exposure (2023)Optimum consumption and portfolio rules in a continuous-time model (1971)Delta-Hedged Gains and the Negative Market Volatility Risk Premium (2003)The Cross‐Section of Volatility and Expected Returns (2006)Advances in prospect theory: Cumulative representation of uncertainty (1992)Common risk factors in the returns on stocks and bonds (1993)On Persistence in Mutual Fund Performance (1997)Does Mandatory IFRS Adoption Affect Crash Risk? (2011)… and the Cross-Section of Expected Returns (2015)
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References

  • 1973The Pricing of Options and Corporate Liabilities29,064 cited
  • 1970EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK*24,470 cited
  • 1996Liquidity, Information, and Infrequently Traded Stocks1,591 cited
  • 2002Stock Return Characteristics, Skew Laws, and the Differential Pricing of Individual Equity Options1,354 cited
  • 1998The relation between implied and realized volatility1,114 cited
  • 1998Option Volume and Stock Prices: Evidence on Where Informed Traders Trade1,089 cited
  • 2000Option Prices, Implied Price Processes, and Stochastic Volatility937 cited
  • 2006The Information in Option Volume for Future Stock Prices847 cited
  • 2009Ex Ante Skewness and Expected Stock Returns784 cited
  • 2001Expected Option Returns771 cited
  • 2004Informed Trading in Stock and Option Markets750 cited
  • 2000Spanning and derivative-security valuation746 cited
  • 2010What Does the Individual Option Volatility Smirk Tell Us About Future Equity Returns?713 cited
  • 1985Nonparametric Tests of Alternative Option Pricing Models Using All Reported Trades and Quotes on the 30 Most Active CBOE Option Classes from August 23, 1976 Through August 31, 1978646 cited
  • 1976STANDARD DEVIATIONS OF STOCK PRICE RATIOS IMPLIED IN OPTION PRICES

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642 cited
  • 1997One Day in the Life of a Very Common Stock634 cited
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