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Chicago Booth Fama-Miller: Derivatives (Topic)

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Viewing: 1 - 8 of 8 papers

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
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 2,725
2.

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
Yale SOM, AQR Capital Management and AQR Capital Management, LLC
Downloads 1,172
3.

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 938
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 448
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

Multiple version iconThere are 5 versions of this paper

Downloads 421
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

Multiple version iconThere are 3 versions of this paper

Downloads 376
7.

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 254
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

Multiple version iconThere are 3 versions of this paper

Downloads 174