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Indian equity options: smile, risk premiums, and efficiency
(John Wiley & Sons, 2018-09-15)
We study the pricing of equity options in India which is one of the world's largest options markets. Our findings are supportive of market efficiency: A parsimonious smile‐adjusted Black model fits option prices well, and ...
Informed trading around earnings announcements—Spot, futures, or options?
(Wiley, 2018)
Recent literature reports higher single stock options (SSO) volume before earnings announcements (EA). There are no studies that explore single stock futures (SSF) in this context because of illiquid SSF markets in developed ...