Option-implied skewness: insights from ITM-options

DOI10.1016/J.JEDC.2021.104227zbMath1475.91362OpenAlexW3198266801MaRDI QIDQ2246790

Judith C. Schneider, Hannes Mohrschladt

Publication date: 16 November 2021

Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jedc.2021.104227

zbMATH Keywords

market frictionsreturn predictabilityin-the-money-optionsoption-implied skewness

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20)

Cites Work

• Advances in prospect theory: cumulative representation of uncertainty
• Volatility Spreads and Expected Stock Returns
• A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix
• On power transformations to symmetry
• Portfolio Optimization Using Forward-Looking Information*
• How Do Short-Sale Costs Affect Put Options Trading? Evidence from Separating Hedging and Speculative Shorting Demands*
• Common risk factors in the returns on stocks and bonds

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