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Applied Economics Letters Volume 25, 2018 - Issue 3
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Article

Option moneyness and price disagreements

Heejin YangCollege of Economics, Sungkyunkwan University, Seoul, Republic of KoreaView further author information
,
Ali M. KutanDepartment of Economics and Finance, Southern Illinois University Edwardsville, Edwardsville, IL, USAView further author information
&
Doojin RyuCollege of Economics, Sungkyunkwan University, Seoul, Republic of KoreaCorrespondence[email protected]
View further author information
Pages 192-196 | Published online: 29 Mar 2017

Citations (17)

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Read on this site (5)

Doojin Ryu & Heejin Yang. (2020) Noise traders, mispricing, and price adjustments in derivatives markets. The European Journal of Finance 26:6, pages 480-499.
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Doowon Ryu, Maria H. Kim & Doojin Ryu. (2019) The Effect of International Strategic Alliances on Firm Performance before and after the Global Financial Crisis. Emerging Markets Finance and Trade 55:15, pages 3539-3552.
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Sangwook Sung, Hoon Cho & Doojin Ryu. (2019) The Behavior of an Institutional Investor with Arbitrage Opportunities and Liquidity Risk. Emerging Markets Finance and Trade 55:1, pages 1-12.
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Heejin Yang, Doojin Ryu & Doowon Ryu. (2018) Market Reform and Efficiency: The Case of KOSPI200 Options. Emerging Markets Finance and Trade 54:12, pages 2687-2697.
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Wonho Song, Doojin Ryu & Robert I. Webb. (2018) Volatility dynamics under an endogenous Markov-switching framework: a cross-market approach. Quantitative Finance 18:9, pages 1559-1571.
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Articles from other publishers (12)

Joonhyuk Song, Doojin Ryu & Jinyoung Yu. (2022) Changes in the options contract size and arbitrage opportunities. Journal of Futures Markets 43:1, pages 122-137.
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Jaeram Lee, Doojin Ryu & Heejin Yang. (2021) Does vega-neutral options trading contain information?. Journal of Empirical Finance 62, pages 294-314.
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Doojin Ryu & Jinyoung Yu. (2021) Informed options trading around holidays. Journal of Futures Markets 41:5, pages 658-685.
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Jinyoung Yu & Doojin Ryu. (2020) Effects of commodity exchange-traded note introductions: Adjustment for seasonality. Borsa Istanbul Review 20:3, pages 244-256.
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Jaeram Lee, Geul Lee & Doojin Ryu. (2019) The difference in the intraday return-volume relationships of spot and futures: a quantile regression approach. Economics 13:1.
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Heejin Yang, Ali M. Kutan & Doojin Ryu. (2019) Volatility information trading in the index options market: An intraday analysis. International Review of Economics & Finance 64, pages 412-426.
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Jieun Lee & Doojin Ryu. (2019) The impacts of public news announcements on intraday implied volatility dynamics. Journal of Futures Markets 39:6, pages 656-685.
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Dohyun Chun, Hoon Cho & Doojin Ryu. (2019) Forecasting the KOSPI200 spot volatility using various volatility measures. Physica A: Statistical Mechanics and its Applications 514, pages 156-166.
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Yuen Jung Park, Ali M. Kutan & Doojin Ryu. (2019) The impacts of overseas market shocks on the CDS-option basis. The North American Journal of Economics and Finance 47, pages 622-636.
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Doojin Ryu & Heejin Yang. (2018) The directional information content of options volumes. Journal of Futures Markets 38:12, pages 1533-1548.
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Sung Y. Park, Doojin Ryu & Jeongseok Song. (2017) The dynamic conditional relationship between stock market returns and implied volatility. Physica A: Statistical Mechanics and its Applications 482, pages 638-648.
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Jieun Lee & Doojin Ryu. (2019) The Impacts of Macroeconomic News Announcements on Intraday Implied Volatility. SSRN Electronic Journal.
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