How do short-sale costs affect put options trading? Evidence from separating hedging and speculative shorting demands

DOI10.1093/ROF/RFV052MaRDI QIDQ4555609zbMATH OpenOpenAlexFDO

Authors Tse-Chun Lin, Xiaolong Lu

Publication date 20 November 2018

Published in Review of Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1093/rof/rfv052

zbMATH Keywords

equity lending marketoptions marketput options tradingshort-sale cost

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Derivative securities (option pricing, hedging, etc.) (91G20)

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(4)

• Option-implied skewness: insights from ITM-options
• An empirical analysis of option pricing with short sell bans
• The Term Structure of Short Selling Costs
• Decomposing informed trading in equity options

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