Adnan Gazi

University of Liverpool - Management School (ULMS)

  • University of Liverpool - Management School (ULMS)

SCHOLARLY PAPERS

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Scholarly Papers (3)

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1.

The Early Exercise Risk Premium

Management Science, Forthcoming
Number of pages: 87 Posted: 16 Oct 2019 Last Revised: 10 Nov 2023
Kevin Aretz and Adnan Gazi
Alliance Manchester Business School and University of Liverpool - Management School (ULMS)
Downloads 244 (215,521)
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Empirical asset pricing; cross-sectional option pricing; put options; early exercise.

2.

Taking Money Off the Table: Suboptimal Early Exercises, Risky Arbitrage, and American Put Returns

Number of pages: 51 Posted: 07 Oct 2020
Kevin Aretz, Ian Garrett and Adnan Gazi
Alliance Manchester Business School, Manchester Business School and University of Liverpool - Management School (ULMS)
Downloads 196 (264,704)

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Empirical asset pricing, cross-sectional option pricing, put options, early exercise

3.

Early Exercise, Implied Volatility Spread and Future Stock Return: Jumps Bind Them All

Number of pages: 62 Posted: 14 May 2023
Ian Garrett and Adnan Gazi
Manchester Business School and University of Liverpool - Management School (ULMS)
Downloads 69 (564,022)

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Empirical asset pricing, cross-sectional option pricing, implied volatility spread, put options, early exercise, jumps.