SSRN Chicago Booth Fama-Miller: Derivatives (Topic)

1.

The Price of Political Uncertainty: Theory and Evidence from the Option Market

Fama-Miller Working Paper

Number of pages: 69 Posted: 19 Nov 2013 Last Revised: 26 Jun 2016

Working Paper Series

Bryan T. Kelly, Lubos Pastor and Pietro Veronesi

University of Chicago - Finance, University of Chicago - Booth School of Business and University of Chicago - Booth School of Business

There are 4 versions of this paper

Downloads 2,398

2.

The Puzzle of Index Option Returns

Fama-Miller Working Paper , Chicago Booth Research Paper No. 11-24

Number of pages: 42 Posted: 21 Oct 2009 Last Revised: 25 Sep 2012

Working Paper Series

George M. Constantinides, Jens Carsten Jackwerth and Alexi Savov

University of Chicago - Booth School of Business, University of Konstanz - Department of Economics and New York University (NYU) - Department of Finance

Downloads 841

3.

Credit-Implied Volatility

Chicago Booth Research Paper No. 17-12

Number of pages: 59 Posted: 11 Mar 2015 Last Revised: 27 May 2017

Working Paper Series

Bryan T. Kelly, Gerardo Manzo and Diogo Palhares

University of Chicago - Finance, Two Sigma Investments and AQR Capital Management, LLC

Downloads 766

4.

The Information Content of the S&P 500 Index and VIX Options on the Dynamics of the S&P 500 Index

Journal of Futures Markets

Number of pages: 45 Posted: 20 Nov 2010 Last Revised: 01 Oct 2013

Accepted Paper Series

Chung San-Lin, Wei-Che Tsai, Yaw-Huei Wang and Pei-Shih (Pace) Weng

National Taiwan University, National Sun Yat-sen University - Department of Finance, National Taiwan University and National Dong Hwa University - Department of Finance

Downloads 423

5.

Understanding Trust

CRSP Working Paper No. 621

Number of pages: 32 Posted: 04 Sep 2007

Working Paper Series

Paola Sapienza, Anna Toldra and Luigi Zingales

Northwestern University - Kellogg School of Management - Department of Finance, Universidad Carlos III de Madrid and University of Chicago - Booth School of Business

There are 5 versions of this paper

Downloads 405

6.

Are Options on Index Futures Profitable for Risk Averse Investors? Empirical Evidence

Fama-Miller Working Paper , Chicago Booth Research Paper No. 11-23

Number of pages: 56 Posted: 18 Mar 2008 Last Revised: 27 Jul 2011

Working Paper Series

George M. Constantinides, Michal Czerwonko, Jens Carsten Jackwerth and Stylianos Perrakis

University of Chicago - Booth School of Business, Concordia University, University of Konstanz - Department of Economics and Concordia University, Quebec - John Molson School of Business

There are 3 versions of this paper

Downloads 357

7.

Mispriced Index Option Portfolios

Number of pages: 70 Posted: 12 Jan 2017 Last Revised: 24 Aug 2017

Working Paper Series

George M. Constantinides, Michal Czerwonko and Stylianos Perrakis

University of Chicago - Booth School of Business, Concordia University and Concordia University, Quebec - John Molson School of Business

There are 2 versions of this paper

Downloads 187

8.

Are Options on Index Futures Profitable for Risk Averse Investors‘ Empirical Evidence

Number of pages: 73 Posted: 14 Oct 2008 Last Revised: 26 Jul 2010

Working Paper Series

George M. Constantinides, Michal Czerwonko, Jens Carsten Jackwerth and Stylianos Perrakis

University of Chicago - Booth School of Business, Concordia University, University of Konstanz - Department of Economics and Concordia University, Quebec - John Molson School of Business

There are 3 versions of this paper

Downloads 168

The Price of Political Uncertainty: Theory and Evidence from the Option Market

The Price of Political Uncertainty: Theory and Evidence from the Option Market

The Price of Political Uncertainty: Theory and Evidence from the Option Market

The Price of Political Uncertainty: Theory and Evidence from the Option Market

The Price of Political Uncertainty: Theory and Evidence from the Option Market

The Puzzle of Index Option Returns

Credit-Implied Volatility

The Information Content of the S&P 500 Index and VIX Options on the Dynamics of the S&P 500 Index

Understanding Trust

Understanding Trust

Understanding Trust

Understanding Trust

Understanding Trust

Understanding Trust

Are Options on Index Futures Profitable for Risk Averse Investors? Empirical Evidence

Are Options on Index Futures Profitable for Risk Averse Investors? Empirical Evidence

Are Options on Index Futures Profitable for Risk Averse Investors‘ Empirical Evidence

Are Options on Index Futures Profitable for Risk Averse Investors? Empirical Evidence

Mispriced Index Option Portfolios

Mispriced Index Option Portfolios

Mispriced Index Option Portfolios

Are Options on Index Futures Profitable for Risk Averse Investors‘ Empirical Evidence

Are Options on Index Futures Profitable for Risk Averse Investors? Empirical Evidence

Are Options on Index Futures Profitable for Risk Averse Investors‘ Empirical Evidence

Are Options on Index Futures Profitable for Risk Averse Investors? Empirical Evidence

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