Informed Option Trading Strategies: the Impact on the Underlying Price Process Cyriel De Jong Erasmus Research Institute of Management Report Series Research in Management Bibliographic Data and Classifications

From skews to a skewed-t: Modelling option-implied returns by a skewed Student-t Cyriel de Jong and Ronald Huisman ERASMUS RESEARCH INSTITUTE OF MANAGEMENT REPORT SERIES RESEARCH IN MANAGEMENT BIBLIOGRAPHIC DATA AND CLASSIFICATIONS

In this paper we present a new methodology to infer the implied risk-neutral distribution function from European-style options. We introduce a skewed version of the Student-t distribution, whose main advantage is that its shape depends on only four parameters, of which two directly control for the levels of skewness and kurtosis. We can thus easily vary parameters to compare different distribut...

Bergh, U. Kaymak Erasmus Research Institute of Management Report Series Research in Management Bibliographic Data and Classifications

Resource-based Perspective Ernst Verwaal and Bas Donkers Erasmus Research Institute of Management Report Series Research in Management Bibliographic Data and Classifications

This paper presents a unifying theory, explaining the different relationships between firm size and export intensity that have been found in previous studies. We propose that transaction costs economies and different types of resources induce a moderating effect on the firm size and export intensity relationship. Data on international businesses in the Netherlands are used to test the theoretic...

Profitability of Momentum and Contrarian Strategies Based on Trading Volume in Tehran Stock Exchange: A Comparison of Emerging Market

In this study, the profitability of contrarian and momentum strategies were traded in mid- term based on trading volume. The stocks were categorized into three parts (high, middle and low) at the outset. Then, the relationship between excess return with three components such as cross-sectional risk, lead-lag effect and time-series pattern were examined based on Jegadeesh and Titman approach.The...

American Option Pricing of Future Contracts in an Effort to Investigate Trading Strategies; Evidence from North Sea Oil Exchange

In this paper, Black Scholes’s pricing model was developed to study American option on future contracts of Brent oil. The practical tests of the model show that market priced option contracts as future contracts less than what model did, which mostly represent option contracts with price rather than without price. Moreover, it suggests call option rather than put option. Using t hypothesis test...