The price of COVID-19-induced uncertainty in the options market

DOI10.1016/J.ECONLET.2021.110265MaRDI QIDQ2126172zbMATH OpenOpenAlexFDO

Authors Jianhui Li, Xinfeng Ruan, Jin E. Zhang

Publication date 14 April 2022

Published in Economics Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.econlet.2021.110265

zbMATH Keywords

COVID-19government responseoptions marketuncertainty

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20)

Recommendations

• COVID-19 and market expectations: evidence from option-implied densities
• The global effects of Covid-19-induced uncertainty
• Dynamic causality interplay from COVID-19 pandemic to oil price, stock market, and economic policy uncertainty: evidence from oil-importing and oil-exporting countries
• Lockdowns as options
• Valuation of European Options Under an Uncertain Market Price of Volatility Risk

Cites work

• COVID-19 and market expectations: evidence from option-implied densities

Cited in

(6)

• Impact of divergent consumer confidence on option prices
• Post-'87 crash fears in the S\&P 500 futures option market
• The global effects of Covid-19-induced uncertainty
• COVID-19 and market expectations: evidence from option-implied densities
• Consumer panic in the COVID-19 pandemic
• Unlocking the black box: non-parametric option pricing before and during COVID-19

This page was built for publication: The price of COVID-19-induced uncertainty in the options market

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2126172)