Is investor misreaction economically significant? Evidence from short- and long-term S&P 500 index options

Article Abstract:

A study based on S&P 500 index options and long-dated S&P 500 LEAPS proves the presence of investor misreaction in options market, which dissipates in one to three days. Such misreaction can result in abnormal returns in that period.

Return on investment, Rate of return, Standard and Poor's 500-Stock Price Index (Index)

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Option pricing with a non-zero lower bound on stock price

Article Abstract:

A model forecasting the stock prices in a situation where the lower boundary for returns is fixed and is not a zero is presented. The use of same model for option pricing is also suggested.

Methods, Usage, Options (Finance), Mathematical models

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Vix futures

Article Abstract:

A new VIX futures expression is developed for assessing exchange-traded contract on a future volatility index. The model is derived from S and P 500 stock index options.

Models, Evaluation, Financial futures, Futures market, Futures markets

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