Journal of Futures Markets
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Published By Wiley (John Wiley & Sons)

1096-9934, 0270-7314
Latest Documents Most Cited Documents Contributed Authors Related Sources Related Keywords

Pricing vulnerable options under correlated skew Brownian motions

2022 ◽  
Author(s):  
Che Guo ◽  
Xingchun Wang
Keyword(s):  
Brownian Motions ◽  
Vulnerable Options

Risk‐neutral skewness and commodity futures pricing

2022 ◽  
Author(s):  
Ana‐Maria Fuertes ◽  
Zhenya Liu ◽  
Weiqing Tang
Keyword(s):  
Commodity Futures ◽  
Risk Neutral ◽  
Futures Pricing

scholarly journals Multi‐step reflection principle and barrier options

2022 ◽  
Author(s):  
Hangsuck Lee ◽  
Gaeun Lee ◽  
Seongjoo Song
Keyword(s):  
Reflection Principle ◽  
Barrier Options

Contagion or flight‐to‐quality? The linkage between oil price and the US dollar based on the local Gaussian approach

2022 ◽  
Author(s):  
Lei Ming ◽  
Yao Shen ◽  
Shenggang Yang ◽  
Minyi Dong
Keyword(s):  
Oil Price ◽  
Flight To Quality ◽  
The Us ◽  
Us Dollar

Information contents of intraday SSE 50 ETF options trades

2022 ◽  
Author(s):  
Xingguo Luo ◽  
Wenye Cai ◽  
Doojin Ryu
Keyword(s):  
Information Contents

Option‐implied moments and the cross‐section of stock returns

2021 ◽  
Author(s):  
Lykourgos Alexiou ◽  
Leonidas S. Rompolis
Keyword(s):  
Stock Returns ◽  
Cross Section ◽  
The Cross

Are option traders more informed than Twitter users? A PVAR analysis

2021 ◽  
Author(s):  
Alex Frino ◽  
Caihong Xu ◽  
Z. Ivy Zhou
Keyword(s):  
Twitter Users

scholarly journals Multistep forecast of the implied volatility surface using deep learning

2021 ◽  
Author(s):  
Nikita Medvedev ◽  
Zhiguang Wang
Keyword(s):  
Deep Learning ◽  
Implied Volatility ◽  
Implied Volatility Surface ◽  
Volatility Surface

Information and the arrival rate of option trading volume

2021 ◽  
Author(s):  
Mengyu Zhang ◽  
Thanos Verousis ◽  
Iordanis Kalaitzoglou
Keyword(s):  
Trading Volume ◽  
Arrival Rate ◽  
Option Trading

Who and what drives informed options trading after the market opens?

2021 ◽  
Author(s):  
Jongho Kang ◽  
Jangkoo Kang ◽  
Jaeram Lee
Keyword(s):  
Options Trading
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