The Index Option or the Portfolio?

SSRN Electronic Journal ◽

10.2139/ssrn.3068006 ◽

2017 ◽

Author(s):

Feifan Wu ◽

Chongfeng Wu

Keyword(s):

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The Puzzle of Index Option Returns

10.2469/dig.v44.n6.23 ◽

2014 ◽

Vol 44 (6) ◽

Author(s):

Brindha Gunasingham

Keyword(s):

Option Returns ◽

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Index Option Anomalies: How Real Are They?

SSRN Electronic Journal ◽

10.2139/ssrn.3278037 ◽

2018 ◽

Author(s):

Michal Czerwonko ◽

Stylianos Perrakis

Keyword(s):

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Index Option Pricing Models with Stochastic Volatility and Stochastic Interest Rates

Review of Finance ◽

10.1023/a:1009860926279 ◽

1999 ◽

Vol 3 (3) ◽

pp. 273-310 ◽

Author(s):

George J. Jiang ◽

Pieter J. van der Sluis

Keyword(s):

Option Pricing ◽

Interest Rates ◽

Stochastic Volatility ◽

Pricing Models ◽

Stochastic Interest Rates ◽

Stochastic Interest ◽

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A new hybrid parametric and machine learning model with homogeneity hint for European-style index option pricing

Neural Computing and Applications ◽

10.1007/s00521-016-2303-y ◽

2016 ◽

Vol 28 (12) ◽

pp. 4061-4077 ◽

Author(s):

Shom Prasad Das ◽

Sudarsan Padhy

Keyword(s):

Machine Learning ◽

Option Pricing ◽

Learning Model ◽

Machine Learning Model ◽

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Nonlinear neural network forecasting model for stock index option price: Hybrid GJR–GARCH approach

Expert Systems with Applications ◽

10.1016/j.eswa.2007.09.056 ◽

2009 ◽

Vol 36 (1) ◽

pp. 564-570 ◽

Author(s):

Yi-Hsien Wang

Keyword(s):

Neural Network ◽

Option Price ◽

Stock Index ◽

Forecasting Model ◽

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Empirical of the Taiwan stock index option price forecasting model – applied artificial neural network

Applied Economics ◽

10.1080/00036840601131672 ◽

2009 ◽

Vol 41 (15) ◽

pp. 1965-1972 ◽

Author(s):

Chin-Tsai Lin ◽

Hsin-Yi Yeh

Keyword(s):

Neural Network ◽

Artificial Neural Network ◽

Option Price ◽

Stock Index ◽

Forecasting Model ◽

Price Forecasting ◽

Artificial Neural ◽

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The Shape and Term Structure of the Index Option Smirk: Why Multifactor Stochastic Volatility Models Work so Well

SSRN Electronic Journal ◽

10.2139/ssrn.1447362 ◽

2009 ◽

Author(s):

Peter Christoffersen ◽

Steven L. Heston ◽

Kris Jacobs

Keyword(s):

Stochastic Volatility ◽

Term Structure ◽

Stochastic Volatility Models ◽

Volatility Models ◽

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The Performance of Equity Index Option Strategy Returns During the Financial Crisis

SSRN Electronic Journal ◽

10.2139/ssrn.2669999 ◽

2015 ◽

Author(s):

Dominik Schulte

Keyword(s):

Financial Crisis ◽

Equity Index ◽

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Volatility Forecasts for the RTS Stock Index: Option-Implied Volatility Versus Alternative Methods

SSRN Electronic Journal ◽

10.2139/ssrn.3378822 ◽

2019 ◽

Author(s):

Guglielmo Maria Caporale ◽

Daria Teterkina

Keyword(s):

Implied Volatility ◽

Stock Index ◽

Alternative Methods ◽

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Index Option Pricing Models with Stochastic Volatility and Stochastic Interest Rates

SSRN Electronic Journal ◽

10.2139/ssrn.275813 ◽

2001 ◽

Author(s):

George J. Jiang ◽

Pieter Jelle van der Sluis

Keyword(s):

Option Pricing ◽

Interest Rates ◽

Stochastic Volatility ◽

Pricing Models ◽

Stochastic Interest Rates ◽

Stochastic Interest ◽

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