scholarly journals Illiquidity Premia in the Equity Options Market

2012 ◽  
Author(s):  
Peter Christoffersen ◽  
Ruslan Goyenko ◽  
Kris Jacobs ◽  
Mehdi Karoui
Keyword(s):  
Options Market ◽  
Equity Options

The implied volatility smirk in the Chinese equity options market

2021 ◽  
pp. 101624
Author(s):  
Tian Yue ◽  
Sebastian Gehricke ◽  
Jin E. Zhang ◽  
Zheyao Pan
Keyword(s):  
Implied Volatility ◽  
Options Market ◽  
Equity Options

scholarly journals Illiquidity Premia in the Equity Options Market

2017 ◽  
Vol 31 (3) ◽  
pp. 811-851 ◽  
Author(s):  
Peter Christoffersen ◽  
Ruslan Goyenko ◽  
Kris Jacobs ◽  
Mehdi Karoui
Keyword(s):  
Options Market ◽  
Equity Options

scholarly journals Do Equity Markets Favor Credit Market News Over Options Market News?

2014 ◽  
Vol 04 (02) ◽  
pp. 1450006 ◽  
Author(s):  
Antje Berndt ◽  
Anastasiya Ostrovnaya
Keyword(s):  
Market News ◽  
Credit Default Swap ◽  
Equity Market ◽  
Credit Spreads ◽  
Option Prices ◽  
Options Market ◽  
Options Markets ◽  
Equity Options ◽  
Abnormal Movements ◽  
Credit Default

Credit default swap (CDS) and equity options markets often experience abnormal swings prior to the announcement of negative credit news. Option prices reveal information about such forthcoming adverse events at least as early as credit spreads, except for negative earnings announcements. Prior to negative credit news being announced, the equity market does not respond to abnormal movements in option prices unless that information has also manifested itself in credit spreads, perhaps because options are perceived as more likely to trade on unsubstantiated rumors than default swaps.

A smiling bear in the equity options market and the cross‐section of stock returns

2019 ◽  
Vol 39 (11) ◽  
pp. 1360-1382 ◽  
Author(s):  
Haehean Park ◽  
Baeho Kim ◽  
Hyeongsop Shim
Keyword(s):  
Stock Returns ◽  
Cross Section ◽  
Options Market ◽  
Equity Options ◽  
The Cross
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