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Do Investors Follow the Herd in Option Markets
(2020)
We investigate the previously unexplored herding behaviour of investors in option markets, by examining equity option contracts traded in the US between 1996 and 2012. We document strong herding effects in option trading ...
An evolutionary real options framework for the design and management of projects and systems with complex real options and exercising conditions
(ELSEVIER SCIENCE BV, 2011)
To address the issue of decision support for designing and managing flexible projects and systems in the face of uncertainties, this paper integrates real options valuation, decision analysis techniques, Monte Carlo ...
Arbitrage opportunities with a delta-gamma neutral strategy in the Brazilian options market
(2017-11-08)
We investigate arbitrage opportunities in the Brazilian options market. Our research consists inbacktesting several delta-gamma neutral portfolios of options traded in B3 exchange to assessthe possibility of obtaining ...
Options can induce risk taking for arbitrary preferences
(Springer, 2006-04)
It is widely believed that call options induce risk-taking behavior. However, Ross (2004) challenges this intuition by demonstrating the impossibility of inducing managers with arbitrary preferences to always act as if ...
Learning and index option returns
(Amer Statistical Assoc, 2020)
Little is known about the economic sources that may generate the abnormal returns observed in put index options. We show that the learning process followed by investors may be one such source. We develop an equilibrium ...
Estimation of volatility of selected oil production projects
(Elsevier Science BvAmsterdamHolanda, 2006)