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Showing 1 to 13 of 13 for “"equity options"”.
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Order Execution Quality in Equity Options Markets
… important determinants of order cancellations in options markets. Overall, our results suggest that reducing excessive order cancellation activity may improve the quality of liquidity provision and, consequently, enhance order execution quality. In Part 2, we examine if the priority rules, such as …
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Essays on the microstructure of US equity options
… as three essays on market microstructure of US equity options. The appearance of high-frequency trading changed the process of trading and the structure of financial markets. Additionally, literature on individual equity options is relatively low because of the problems with data availability. …
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Equity options trading and non-GAAP earnings disclosure
Submission published under a 24 month embargo labeled 'U of I Access', the embargo will last until 2027-05-01
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Equity options and stochastic interest rates : error in Black-Scholes prices and hedges for European- and American-style equity options when short rates are Ornstein-Uhlenbeck
… Black-Scholes prices and hedges for European equity options (Black&Scholes (1973), Merton (1973)) and American equity options (Karatzas (1988)) in an economy with stochastic interest rates. In particular, we consider an economy with Vasicek (1977) type interest rates.
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Pricing equity options on multiple underlyings in the South African context
It is well documented that financial asset prices returns are not normally distributed. Historical return distributions exhibit fatter tails and positive skewness that is not explained by a normal distribution. Moreover, the standard Black-Scholes option pricing framework that assumes that asset …
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The Effects of Multiple Listing on Bid-Ask Spreads for Equity Options
… to test the hypothesis that multiple-listing of equity options leads to lower bid-ask spreads because of increased competition. This competition can come in two forms, actual or potential, both of which are theorized to have the same effect on spreads. A model of the determinants of the bid-ask …
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Patterns and Determinants of the Intraday Bid-Ask Spread and Depth of CBOE Equity Options
… spreads. We find an L-shaped spread pattern for options confirming the findings of Chan et al. (1995), a reverse U-shaped pattern for option depth, and a reverse S-shaped pattern for the underlying stock spread. In addition, we use regression analysis to analyze the determinants of the intraday …
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Investment, Uncertainty, and the Impact of Real Options
… implied long term volatility from firm specific equity options contracts. The firm specific measure is also averaged by industry and time period to form an industry average measure. The second stage estimation is a log linear investment equation in which firm capital expenditure is regressed on …
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The Effects of Options Markets on the Underlying Markets: Quasi-Experimental Evidence
… to answer empirically because being listed on an options exchange is not random. Volatility is one of the dimensions along which the options exchanges make their listing decisions. This selection bias confounds any causal effect that option listing may have. What is more, the options exchanges may …
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Essays in Empirical Asset Pricing
… essay, we compute implied dividend yields using equity options and show that they are negatively related to the subsequent stock returns. This finding is in contrast with the theory and evidence at the market level where dividend yield is positively related to the future market return. The panel …
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The Impact of Loss Aversion and Market Sentiment on Implied Volatility Skews.
… behaviour influences the pricing of equity options. Option Pricing has historically been a purely neoclassical topic, however, articles which link option pricing to behavioural finance are becoming increasingly popular. More specifically implied volatility skews, representing a …
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Option Pricing models with Stochastic Volatility and Jumps
Exotic equity options are specialized instruments which are typically traded over the counter. Their prices are primarily determined by option pricing models which should be able to price exotic options consistently with the market prices of corresponding vanilla options. Additionally, option …
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An investigation into the characteristics of equity volatility and its implications for derivative strategies
… development of an e¤ective mechanism for pricing options has inspired a large volume of academic research and has ultimately changed the landscape of the �nancial markets. Since the publication of Black and Scholes�(1973) seminal paper on option pricing, the �nance literature has explored and at …