Lattice-Based Pricing of Index Options Under a GARCH Framework

2008 ◽  
Author(s):  
Philip Gray ◽  
Alana McPhee
Keyword(s):  
Index Options

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

2017 ◽  
Vol 46 (5) ◽  
pp. 1001-1032
Author(s):  
Dowan Kim ◽  
Baeho Kim
Keyword(s):  
Options Market ◽  
Liquidity Premium ◽  
Index Options

Investors' and Central Bank's Uncertainty Measures Embedded in Index Options

2012 ◽  
Author(s):  
Alexander David ◽  
Pietro Veronesi
Keyword(s):  
Index Options ◽  
Uncertainty Measures

Investor Sentiment and Value and Growth Index Options

2011 ◽  
Author(s):  
Jerry Coakley ◽  
George Dotsis ◽  
Xiaoquan Liu ◽  
Jia Zhai
Keyword(s):  
Investor Sentiment ◽  
Growth Index ◽  
Index Options

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

2013 ◽  
Author(s):  
Doojin Ryu ◽  
Kee H. Chung
Keyword(s):  
Options Market ◽  
Index Options

Pricing Cac 40 Index Options with Stochastic Volatility

2003 ◽  
Author(s):  
Sofiane Aboura
Keyword(s):  
Stochastic Volatility ◽  
Index Options

scholarly journals Was There Abnormal Trading in the S&P 500 Index Options Prior to the September 11 Attacks?

2010 ◽  
Author(s):  
Wing-Keung Wong ◽  
Howard E. Thompson ◽  
Kweehong Teh
Keyword(s):  
September 11 ◽  
Index Options ◽  
September 11 Attacks

scholarly journals The impact of COVID-19 on tail risk: Evidence from Nifty index options

2021 ◽  
Vol 204 ◽  
pp. 109878
Author(s):  
Sobhesh Kumar Agarwalla ◽  
Jayanth R. Varma ◽  
Vineet Virmani
Keyword(s):  
Index Options ◽  
Tail Risk ◽  
The Impact

Pricing of index options in incomplete markets

2021 ◽  
Author(s):  
Caio Almeida ◽  
Gustavo Freire
Keyword(s):  
Incomplete Markets ◽  
Index Options
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