1001 Sherbrooke St. West
Montreal, Quebec H3A1G5 H3A 2M1
McGill University - Desautels Faculty of Management
in Total Papers Downloads
in Total Papers Citations
information content, options, open interest, trading strategy
Financial Crisis, Behavior of Stock Price, Volatility Smile, Value at Risk
financial crisis, beta risk, GARCH, skewness and kurtosis, Value at Risk
market efficiency, index options, no arbitrage conditions.
Operational Risk, Economic Capital, Value at Risk, Basel II, LDA
Option Price, Bid-Ask Spread, Liquidity, Illiquidity Premium, Implied Volatility
S&P 500 Index Options, Spider Options, ETF, Volatility Smile
Market Risk, Value at Risk, Implied Volatility, Basel, Bank Capital
American options, option valuation, bounds
Mortgage Debt, Housing Price, Term Structure, Default Risk Premium
credibility, public debt, foreign exchange intervention
Overreaction, contrarian strategy, momentum crash, market efficiency, extreme market events
American Futures Options, Option Price, Early Exercise, ISD
Overreaction, contrarian strategy, momentum, market efficiency, Brazilian market
Volatility, Expected Option Return, Cross-Section of Option Returns
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