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The COVID-19 risk in the cross-section of equity options
We use the implied volatility slope measures derived from US stock options to examine the impact of COVID-19 risk on the options market. The severity of COVID-19 is measured by the number of new confirmed cases. We find that equity options that are most sensitive to COVID-19 generate a more positive...
| Autores principales: | , |
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| Formato: | Online Artículo Texto |
| Lenguaje: | English |
| Publicado: |
The Author(s). Published by Elsevier Inc.
2023
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| Materias: | |
| Acceso en línea: | https://www.ncbi.nlm.nih.gov/pmc/articles/PMC9908572/ https://www.ncbi.nlm.nih.gov/pubmed/36785797 http://dx.doi.org/10.1016/j.frl.2023.103684 |