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What do we know about individual equity options?
Author(s) -
Bernales Alejandro,
Verousis Thanos,
Voukelatos Nikolaos,
Zhang Mengyu
Publication year - 2020
Publication title -
journal of futures markets
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.88
H-Index - 55
eISSN - 1096-9934
pISSN - 0270-7314
DOI - 10.1002/fut.22066
Subject(s) - equity (law) , equity risk , financial economics , equity capital markets , economics , business , exotic option , binary option , stock options , valuation of options , asian option , actuarial science , private equity , finance , political science , law
This paper examines the empirical literature on individual equity options, discussing results in areas of consensus, showing findings in areas of disagreement and providing a guide for future research (especially highlighting analyses that cannot be performed with index options). Key topics include the impact of equity option listings on the underlying stock market, option market efficiency, anomalies in equity option returns, option market microstructure, investors’ behavioral biases, option price discovery, and private information revealed in equity option markets. Some directions for future research include the determinants of equity option returns and the effect of algorithmic trading in option markets.