Thomas Gruenthaler

University of Muenster - Finance Center Muenster

Universitätsstraße 14-16

Muenster, D-48143

Germany

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

  • University of Muenster - Finance Center Muenster

SCHOLARLY PAPERS

5

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1,215

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Scholarly Papers (5)

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1.

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 - Finance Center Muenster, University of Münster - Finance Center Muenster and University of Muenster - Finance Center Muenster
Downloads 462 (461,580)

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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

2.

Option Liquidity and Gamma Imbalances

Number of pages: 44 Posted: 30 Jun 2022 Last Revised: 09 Jan 2023
Leander Gayda, Thomas Gruenthaler and Jan Harren
University of Münster - Finance Center Muenster, University of Muenster - Finance Center Muenster and University of Muenster - Finance Center Muenster
Downloads 460 (97,803)

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

3.

Volatility Uncertainty and Jumps

Number of pages: 52 Posted: 10 May 2018 Last Revised: 15 Jul 2022
Thomas Gruenthaler and Hendrik Hülsbusch
University of Muenster - Finance Center Muenster and University of Muenster - Finance Center Muenster
Downloads 292 (162,045)

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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
Thomas Gruenthaler
University of Muenster - Finance Center Muenster
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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, Forthcoming https://doi.org/10.1016/j.jbankfin.2022.106670
Posted: 19 Nov 2020 Last Revised: 14 Sep 2022
Thomas Gruenthaler, Friedrich Lorenz and Paul Meyerhof
University of Muenster - Finance Center Muenster, 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