FRINK Linked Data Fragments server

Matches in SemOpenAlex for { <https://semopenalex.org/work/W3123661236> ?p ?o ?g. }

• W3123661236 abstract "Option market prices have often been regarded as a window on investor sentiment about the future price behaviour of the underlying asset. Such market prices can be different than their corresponding model prices, a phenomenon revealed by implied volatility plots exhibiting “smiles” or “smirks”. Using the unique capabilities of Bayesian-based empirical methods, a four-moment risk-neutral specification is determined that largely eliminates market and model price differences. The risk-neutral density derived for a sample of S&P 500 call option prices during 2008-2009 uncovers significant market under-pricing reinforced by anomalous volatility skews that reveal bearish investor sentiment clearly signalling the pending equity market collapse" @default.
• W3123661236 created "2021-02-01" @default.
• W3123661236 creator A5087462377 @default.
• W3123661236 date "2015-01-01" @default.
• W3123661236 modified "2023-09-27" @default.
• W3123661236 title "The Predictive Power of S&P 500 Option Prices and the Stock Market Crash of 2008-2009" @default.
• W3123661236 cites W1639275303 @default.
• W3123661236 cites W1859883690 @default.
• W3123661236 cites W2016012896 @default.
• W3123661236 cites W2016195689 @default.
• W3123661236 cites W2077791698 @default.
• W3123661236 cites W2106154424 @default.
• W3123661236 cites W2121622547 @default.
• W3123661236 cites W2129605852 @default.
• W3123661236 cites W2142626631 @default.
• W3123661236 cites W2144010262 @default.
• W3123661236 cites W2152977846 @default.
• W3123661236 cites W2166999143 @default.
• W3123661236 cites W3121239128 @default.
• W3123661236 cites W3121459779 @default.
• W3123661236 cites W3123024061 @default.
• W3123661236 cites W3124461761 @default.
• W3123661236 cites W3125210204 @default.
• W3123661236 cites W3125387330 @default.
• W3123661236 cites W3125912290 @default.
• W3123661236 doi "https://doi.org/10.4172/2168-9458.1000141" @default.
• W3123661236 hasPublicationYear "2015" @default.
• W3123661236 type Work @default.
• W3123661236 sameAs 3123661236 @default.
• W3123661236 citedByCount "1" @default.
• W3123661236 countsByYear W31236612362013 @default.
• W3123661236 crossrefType "journal-article" @default.
• W3123661236 hasAuthorship W3123661236A5087462377 @default.
• W3123661236 hasConcept C106159729 @default.
• W3123661236 hasConcept C111472728 @default.
• W3123661236 hasConcept C13290067 @default.
• W3123661236 hasConcept C138885662 @default.
• W3123661236 hasConcept C149782125 @default.
• W3123661236 hasConcept C151730666 @default.
• W3123661236 hasConcept C162324750 @default.
• W3123661236 hasConcept C175444787 @default.
• W3123661236 hasConcept C17744445 @default.
• W3123661236 hasConcept C183469790 @default.
• W3123661236 hasConcept C199360897 @default.
• W3123661236 hasConcept C199539241 @default.
• W3123661236 hasConcept C199728807 @default.
• W3123661236 hasConcept C24189920 @default.
• W3123661236 hasConcept C2777209242 @default.
• W3123661236 hasConcept C2778136018 @default.
• W3123661236 hasConcept C2780299701 @default.
• W3123661236 hasConcept C2780762169 @default.
• W3123661236 hasConcept C2781410264 @default.
• W3123661236 hasConcept C41008148 @default.
• W3123661236 hasConcept C556758197 @default.
• W3123661236 hasConcept C64112148 @default.
• W3123661236 hasConcept C86803240 @default.
• W3123661236 hasConcept C91602232 @default.
• W3123661236 hasConceptScore W3123661236C106159729 @default.
• W3123661236 hasConceptScore W3123661236C111472728 @default.
• W3123661236 hasConceptScore W3123661236C13290067 @default.
• W3123661236 hasConceptScore W3123661236C138885662 @default.
• W3123661236 hasConceptScore W3123661236C149782125 @default.
• W3123661236 hasConceptScore W3123661236C151730666 @default.
• W3123661236 hasConceptScore W3123661236C162324750 @default.
• W3123661236 hasConceptScore W3123661236C175444787 @default.
• W3123661236 hasConceptScore W3123661236C17744445 @default.
• W3123661236 hasConceptScore W3123661236C183469790 @default.
• W3123661236 hasConceptScore W3123661236C199360897 @default.
• W3123661236 hasConceptScore W3123661236C199539241 @default.
• W3123661236 hasConceptScore W3123661236C199728807 @default.
• W3123661236 hasConceptScore W3123661236C24189920 @default.
• W3123661236 hasConceptScore W3123661236C2777209242 @default.
• W3123661236 hasConceptScore W3123661236C2778136018 @default.
• W3123661236 hasConceptScore W3123661236C2780299701 @default.
• W3123661236 hasConceptScore W3123661236C2780762169 @default.
• W3123661236 hasConceptScore W3123661236C2781410264 @default.
• W3123661236 hasConceptScore W3123661236C41008148 @default.
• W3123661236 hasConceptScore W3123661236C556758197 @default.
• W3123661236 hasConceptScore W3123661236C64112148 @default.
• W3123661236 hasConceptScore W3123661236C86803240 @default.
• W3123661236 hasConceptScore W3123661236C91602232 @default.
• W3123661236 hasLocation W31236612361 @default.
• W3123661236 hasOpenAccess W3123661236 @default.
• W3123661236 hasPrimaryLocation W31236612361 @default.
• W3123661236 hasRelatedWork W1982952983 @default.
• W3123661236 hasRelatedWork W2015517828 @default.
• W3123661236 hasRelatedWork W2064036451 @default.
• W3123661236 hasRelatedWork W2073191379 @default.
• W3123661236 hasRelatedWork W2119108325 @default.
• W3123661236 hasRelatedWork W2128501360 @default.
• W3123661236 hasRelatedWork W2137052885 @default.
• W3123661236 hasRelatedWork W2155794029 @default.
• W3123661236 hasRelatedWork W2532599977 @default.
• W3123661236 hasRelatedWork W2766074496 @default.
• W3123661236 hasRelatedWork W2955791266 @default.
• W3123661236 hasRelatedWork W3003917151 @default.
• W3123661236 hasRelatedWork W3067679397 @default.
• W3123661236 hasRelatedWork W3092347339 @default.
• W3123661236 hasRelatedWork W3123573402 @default.
• W3123661236 hasRelatedWork W3125008834 @default.

• next