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Chicago Booth Fama-Miller: Derivatives (Topic)

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7,019 Total downloads

Viewing: 1 - 8 of 8 papers

1.

Mispriced Index Option Portfolios

Number of pages: 70 Posted: 12 Jan 2017 Last Revised: 13 Dec 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

Multiple version iconThere are 2 versions of this paper

Downloads 297
2.

Credit-Implied Volatility

Number of pages: 47 Posted: 11 Mar 2015 Last Revised: 05 Jun 2019
Working Paper Series
Bryan T. Kelly, Gerardo Manzo and Diogo Palhares
Yale SOM, Kepos Capital and AQR Capital Management, LLC
Downloads 1,394
3.

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
Yale SOM, University of Chicago - Booth School of Business and University of Chicago - Booth School of Business

Multiple version iconThere are 4 versions of this paper

Downloads 2,888
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, Oregon State University, National Taiwan University and National Dong Hwa University - Department of Finance
Downloads 463
5.

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 982
6.

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

Multiple version iconThere are 3 versions of this paper

Downloads 179
7.

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

Multiple version iconThere are 3 versions of this paper

Downloads 386
8.

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

Multiple version iconThere are 5 versions of this paper

Downloads 430