Event-day options

DOI10.1111/JTSA.12819MaRDI QIDQ6911352zbMATH OpenFDO

Authors Jonathan H. Wright

Publication date 24 October 2025

Published in Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1111/JTSA.12819

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Derivative securities (option pricing, hedging, etc.) (91G20)

Cites work

• Alternative tests for correct specification of conditional predictive densities
• Bond variance risk premiums
• Nonparametric option pricing under shape restrictions
• Options and Efficiency
• Resolution of policy uncertainty and sudden declines in volatility
• Testing for anticipated changes in spot volatility at event times
• The Kolmogorov-Smirnov, Cramer-von Mises Tests
• The pricing of options and corporate liabilities
• Variance trading and market price of variance risk

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