Jumps in option prices and their determinants: Real-time evidence from the E-mini S&P 500 option market
Year of publication: |
2014
|
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Authors: | Kapetanios, George ; Neumann, Michael ; Skiadopoulos, George |
Publisher: |
London : Queen Mary University of London, School of Economics and Finance |
Subject: | Asymmetric information | Co-jumps | Limit order markets | Liquidity | Option Markets | News announcements |
Series: | Working Paper ; 730 |
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Type of publication: | Book / Working Paper |
Type of publication (narrower categories): | Working Paper |
Language: | English |
Other identifiers: | 81715650X [GVK] hdl:10419/122080 [Handle] RePEc:qmw:qmwecw:wp730 [RePEc] |
Classification: | c58 ; G10 - General Financial Markets. General ; G12 - Asset Pricing ; G13 - Contingent Pricing; Futures Pricing |
Source: |
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Kapetanios, George, (2014)
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