Michael Hofmann

Karlsruhe Institute of Technology (KIT) - Institute for Finance

P.O. Box 6980

D-76049 Karlsruhe

Germany

http://derivate.fbv.kit.edu/english/index.php

  • Karlsruhe Institute of Technology (KIT) - Institute for Finance

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    • Tel: +49 721 6084 8185
    • Fax: +49 721 6084 8190
SCHOLARLY PAPERS

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Scholarly Papers (2)

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1.

Margin Requirements and Equity Option Returns

Number of pages: 81 Posted: 04 Jun 2016 Last Revised: 01 Jul 2021
Steffen Hitzemann, Michael Hofmann, Marliese Uhrig-Homburg and Christian Wagner
University of Houston - Department of Finance, Karlsruhe Institute of Technology (KIT) - Institute for Finance, Karlsruhe Institute of Technology (KIT) - Institute for Finance and WU Vienna University of Economics and Business
Downloads 722 (60,079)
Citation 4

Abstract:

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equity options, margins, funding liquidity, cross-section of option returns

2.

Volatility Noise

Number of pages: 74 Posted: 06 Mar 2018 Last Revised: 06 Dec 2018
Michael Hofmann and Marliese Uhrig-Homburg
Karlsruhe Institute of Technology (KIT) - Institute for Finance and Karlsruhe Institute of Technology (KIT) - Institute for Finance
Downloads 314 (161,829)
Citation 1

Abstract:

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equity options, implied volatility, intermediary asset pricing, frictions, cross-section of returns