Concepedia

Retail Option Traders and the Implied Volatility Surface

Gregory W. Eaton, T. Clifton Green, Brian Roseman, Yanbin Wu

SSRN Electronic Journal · 2022 · 16 citations · 40 references

DOIFull text

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Concepts

References

40

The Pricing of Options and Corporate Liabilities

Fischer Black, Myron S. Scholes · Journal of Political Economy · 1973 · 29.4K citations

, , +13

The jump-risk premia implicit in options: evidence from an integrated time-series study

Jun Pan · Journal of Financial Economics · 2002 · 1.8K citations

, , +14

Does Net Buying Pressure Affect the Shape of Implied Volatility Functions?

Nicolas P. B. Bollen, Robert E. Whaley · The Journal of Finance · 2004 · 982 citations · Full text

, , +16

The Information in Option Volume for Future Stock Prices

Jun Pan, Allen M. Poteshman · Review of Financial Studies · 2006 · 896 citations

, , +13

What Does the Individual Option Volatility Smirk Tell Us About Future Equity Returns?

Yuhang Xing, Xiaoyan Zhang, Rui Zhao · Journal of Financial and Quantitative Analysis · 2010 · 747 citations

, , +17