Jumps in option prices and their determinants: Real-time evidence from the E-mini S&P 500 options market-Reference-Cited by-同舟云学术

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Jumps in option prices and their determinants: Real-time evidence from the E-mini S&P 500 options market

Published:2019-11 Issue: Volume:46 Page:100506
ISSN:1386-4181
Container-title:Journal of Financial Markets
language:en
Short-container-title:Journal of Financial Markets

Author:

Kapetanios George,Konstantinidi Eirini,Neumann Michael,Skiadopoulos George

Funder

Chicago Mercantile Exchange Group Foundation

University of Piraeus Research Centre

Publisher

Elsevier BV

Subject

Economics and Econometrics,Finance

Reference58 articles.

1. Deutsche mark-dollar volatility: intraday activity patterns, macroeconomic announcements, and longer run dependencies;Andersen;J. Financ.,1998

2. Great realisations;Andersen,2000

3. Real-time price discovery in global stock, bond and foreign exchange markets;Andersen;J. Int. Econ.,2007

4. Informed options trading prior to takeover announcements: insider trading?;Augustin;Manag. Sci.,2019

5. What Makes the VIX Tick?, Working Paper;Bailey,2014

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