Thomas Gruenthaler

Tilburg University - Tilburg University School of Economics and Management

P.O. Box 90153

Tilburg, 5000 LE

Netherlands

http://https://sites.google.com/view/tgruenthaler

SCHOLARLY PAPERS

5

DOWNLOADS

1,974

SSRN CITATIONS

0

CROSSREF CITATIONS

0

Scholarly Papers (5)

1.

Option Liquidity and Gamma Imbalances

Number of pages: 43 Posted: 30 Jun 2022 Last Revised: 01 Aug 2023
Leander Gayda, Thomas Gruenthaler and Jan Harren
University of Münster - Finance Center Muenster, Tilburg University - Tilburg University School of Economics and Management and University of Muenster - Finance Center Muenster
Downloads 858 (52,644)

Abstract:

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Liquidity Risk, Option Markets, Option Liquidity, Liquidity Spirals, Hedge Demand, Gamma Risk

2.

Fed Tails: FOMC Announcements and Stock Market Uncertainty

Number of pages: 67 Posted: 14 May 2019 Last Revised: 30 Mar 2023
Heiner Beckmeyer, Nicole Branger and Thomas Gruenthaler
University of Münster, University of Münster - Finance Center Muenster and Tilburg University - Tilburg University School of Economics and Management
Downloads 628 (461,580)

Abstract:

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Macroeconomic News Announcements, Monetary Policy Decisions, FOMC, Stock Market Uncertainty, Jump Risks, Volatility Risks, Option-Implied Information, High-Frequency Options Data

3.

Volatility Uncertainty and Jumps

Number of pages: 52 Posted: 10 May 2018 Last Revised: 15 Jul 2022
Thomas Gruenthaler and Hendrik Hülsbusch
Tilburg University - Tilburg University School of Economics and Management and University of Muenster - Finance Center Muenster
Downloads 350 (158,701)

Abstract:

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Jumps, Tail Risk, Volatility, Volatility Uncertainty, Volatility-of-Volatility, Option Pricing

4.

Risk Premia and Option Intermediation

Number of pages: 67 Posted: 12 Apr 2023
Thomas Gruenthaler
Tilburg University - Tilburg University School of Economics and Management
Downloads 138 (381,207)

Abstract:

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Risk Premia, Intermediary Asset Pricing, Option Returns, Option Pricing, Crash Risk

5.

Option-Based Intermediary Leverage

Journal of Banking and Finance, Vol. 145, 2022, https://doi.org/10.1016/j.jbankfin.2022.106670
Posted: 19 Nov 2020 Last Revised: 02 Nov 2023
Thomas Gruenthaler, Friedrich Lorenz and Paul Meyerhof
Tilburg University - Tilburg University School of Economics and Management, University of Münster - Finance Center Muenster and University of Münster - Finance Center Muenster

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Intermediary asset pricing, financial intermediation, option-implied information, leverage, financial constraints, risk-bearing capacity, balance sheet valuation