Options
Pricing theory, the volatility risk premium, option returns, and the modern 0DTE evidence.
| Citation | Paper | Access | Difficulty | Score |
|---|---|---|---|---|
| Brogaard et al. (2023) | Does 0DTE Options Trading Increase Volatility? SSRN Working Paper | Free | Moderate | 0 |
| Beckmeyer et al. (2023) | Retail Traders Love 0DTE Options... But Should They? SSRN Working Paper | Free | Moderate | 0 |
| Muravyev & Pearson (2020) | Options Trading Costs Are Lower than You Think Review of Financial Studies | Free | Moderate | 0 |
| Israelov & Nielsen (2015) | Covered Calls Uncovered Financial Analysts Journal | Free | Easy read | 0 |
| Bondarenko (2014) | Why Are Put Options So Expensive? Quarterly Journal of Finance | Free | Technical | 0 |
| Cremers & Weinbaum (2010) | Deviations from Put-Call Parity and Stock Return Predictability Journal of Financial and Quantitative Analysis | Paywalled | Moderate | 0 |
| Goyal & Saretto (2009) | Cross-Section of Option Returns and Volatility Journal of Financial Economics | Paywalled | Moderate | 0 |
| Carr & Wu (2009) | Variance Risk Premiums Review of Financial Studies | Paywalled | Technical | 0 |
| Pan & Poteshman (2006) | The Information in Option Volume for Future Stock Prices Review of Financial Studies | Paywalled | Moderate | 0 |
| Ni et al. (2005) | Stock Price Clustering on Option Expiration Dates Journal of Financial Economics | Paywalled | Moderate | 0 |
| Bollen & Whaley (2004) | Does Net Buying Pressure Affect the Shape of Implied Volatility Functions? Journal of Finance | Paywalled | Moderate | 0 |
| Bakshi et al. (2003) | Stock Return Characteristics, Skew Laws, and the Differential Pricing of Individual Equity Options Review of Financial Studies | Paywalled | Technical | 0 |
| Bakshi & Kapadia (2003) | Delta-Hedged Gains and the Negative Market Volatility Risk Premium Review of Financial Studies | Paywalled | Technical | 0 |
| Coval & Shumway (2001) | Expected Option Returns Journal of Finance | Paywalled | Moderate | 0 |
| Black & Scholes (1973) | The Pricing of Options and Corporate Liabilities Journal of Political Economy | Paywalled | Technical | 0 |
| Merton (1973) | Theory of Rational Option Pricing Bell Journal of Economics and Management Science | Paywalled | Technical | 0 |