Is investor misreaction economically significant? Evidence from short- and long-term S&P 500 index options
Article Abstract:
A study based on S&P 500 index options and long-dated S&P 500 LEAPS proves the presence of investor misreaction in options market, which dissipates in one to three days. Such misreaction can result in abnormal returns in that period.
Publication Name: Journal of Futures Markets
Subject: Business, general
ISSN: 0270-7314
Year: 2005
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Option pricing with a non-zero lower bound on stock price
Article Abstract:
A model forecasting the stock prices in a situation where the lower boundary for returns is fixed and is not a zero is presented. The use of same model for option pricing is also suggested.
Publication Name: Journal of Futures Markets
Subject: Business, general
ISSN: 0270-7314
Year: 2005
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Vix futures
Article Abstract:
A new VIX futures expression is developed for assessing exchange-traded contract on a future volatility index. The model is derived from S and P 500 stock index options.
Publication Name: Journal of Futures Markets
Subject: Business, general
ISSN: 0270-7314
Year: 2006
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