Pricing and calibration of the futures options market: A unified approximation

Journal of Futures Markets ◽

10.1002/fut.22206 ◽

2021 ◽

Author(s):

Xiaotong Lian ◽

Yingda Song

Keyword(s):

Options Market ◽

Futures Options

Download Full-text

Option Pricing Based on Mixtures of Distributions: Evidence from the Eurex Index and Interest Rate Futures Options Market

Derivatives and Hedge Funds ◽

10.1057/9781137554178_18 ◽

2016 ◽

pp. 370-390

Author(s):

Sascha Wilkens

Keyword(s):

Interest Rate ◽

Option Pricing ◽

Options Market ◽

Mixtures Of Distributions ◽

Futures Options ◽

Interest Rate Futures

Download Full-text

Empirical tests of the efficiency of the currency futures options market

Journal of Futures Markets ◽

10.1002/fut.3990070608 ◽

1987 ◽

Vol 7 (6) ◽

pp. 695-703 ◽

Author(s):

Joseph P. Ogden ◽

Alan L. Tucker

Keyword(s):

Options Market ◽

Futures Options ◽

Currency Futures ◽

Empirical Tests

Download Full-text

Transaction Costs and Stochastic Dominance Efficiency in the Index Futures Options Market

SSRN Electronic Journal ◽

10.2139/ssrn.891254 ◽

2006 ◽

Author(s):

Michal Czerwonko ◽

Stylianos Perrakis

Keyword(s):

Transaction Costs ◽

Stochastic Dominance ◽

Options Market ◽

Index Futures ◽

Futures Options

Download Full-text

The informational content of option-implied distributions: Evidence from the Eurex index and interest rate futures options market

Global Finance Journal ◽

10.1016/j.gfj.2006.06.006 ◽

2006 ◽

Vol 17 (1) ◽

pp. 50-74 ◽

Author(s):

Sascha Wilkens ◽

Klaus Röder

Keyword(s):

Interest Rate ◽

Informational Content ◽

Options Market ◽

Futures Options ◽

Interest Rate Futures

Download Full-text

Option pricing based on mixtures of distributions: Evidence from the Eurex index and interest rate futures options market

Derivatives Use Trading &#38 Regulation ◽

10.1057/palgrave.dutr.1840020 ◽

2005 ◽

Vol 11 (3) ◽

pp. 213-231 ◽

Author(s):

Sascha Wilkens

Keyword(s):

Interest Rate ◽

Option Pricing ◽

Options Market ◽

Mixtures Of Distributions ◽

Futures Options ◽

Interest Rate Futures

Download Full-text

American futures options arbitrage: evidence from the Nikkei 225 options market

Quantitative Finance ◽

10.1080/14697680701400671 ◽

2008 ◽

Vol 8 (3) ◽

pp. 313-320

Author(s):

Changyun Wang ◽

Wei Zhang ◽

Weng Kit Tan

Keyword(s):

Options Market ◽

Futures Options

Download Full-text

The Change of Liquidity Premium Caused by a New Multiplier Regulation in the KOSPI200 Index Options Market

Korean Journal of Financial Studies ◽

10.26845/kjfs.2017.12.46.5.1001 ◽

2017 ◽

Vol 46 (5) ◽

pp. 1001-1032

Author(s):

Dowan Kim ◽

Baeho Kim

Keyword(s):

Options Market ◽

Liquidity Premium ◽

Download Full-text

The Informational Role of Trade Duration: The Case of an Index Options Market

SSRN Electronic Journal ◽

10.2139/ssrn.2317663 ◽

2013 ◽

Author(s):

Doojin Ryu ◽

Kee H. Chung

Keyword(s):

Options Market ◽

Download Full-text

Does Indian Market Smile: Implied Risk Neutral Density for the Indian Options Market

SSRN Electronic Journal ◽

10.2139/ssrn.2482013 ◽

2014 ◽

Author(s):

Abhishek Kumar ◽

S. Kumar

Keyword(s):

Neutral Density ◽

Options Market ◽

Indian Market ◽

Risk Neutral ◽

Risk Neutral Density

Download Full-text

A Smiling Bear in the Equity Options Market and the Cross-Section of Stock Returns

SSRN Electronic Journal ◽

10.2139/ssrn.2632763 ◽

2015 ◽

Author(s):

Hye-hyun Park ◽

Baeho Kim ◽

Hyeongsop Shim

Keyword(s):

Stock Returns ◽

Cross Section ◽

Options Market ◽

Equity Options ◽

Download Full-text