Sector Option Correlation Premiums and Predictable Changes in Implied Volatility

Apoorva Koticha, Chen Li and Joseph M. Marks
The Journal of Derivatives Spring 2023, 30 (3) 84-115; DOI: https://doi.org/10.3905/jod.2022.1.171

Article Information

vol. 30 no. 3 84-115
DOI 
https://doi.org/10.3905/jod.2022.1.171
Published By 
Pageant Media Ltd
Print ISSN 
1074-1240
Online ISSN 
2168-8524
History 
  • Published online March 1, 2023.

Article Versions

Copyright & Usage 
© 2023 Pageant Media Ltd

Author Information

  1. Apoorva Koticha
    1. is an associate teaching professor in the D’Amore-McKim School of Business at Northeastern University in Boston, MA. (a.koticha{at}northeastern.edu)
  2. Chen Li
    1. is a PhD candidate in the Isenberg School of Management at the University of Massachusetts Amherst in Amherst, MA. (chenli{at}umass.edu)
  3. Joseph M. Marks
    1. is an associate teaching professor in the D’Amore-McKim School of Business at Northeastern University in Boston, MA. (j.marks{at}northeastern.edu)
View Full Text
Back to top

Explore our content to discover more relevant research

In this issue

Print
Download PDF
Article Alerts
Email Article
Citation Tools
Save To My Folders
Sector Option Correlation Premiums and Predictable Changes in Implied Volatility
Apoorva Koticha, Chen Li, Joseph M. Marks
The Journal of Derivatives Feb 2023, 30 (3) 84-115; DOI: 10.3905/jod.2022.1.171
Reddit logo Twitter logo Facebook logo LinkedIn logo Mendeley logo
Facebook Like LinkedIn logo

Jump to section

Similar Articles

Cited By...

  • No citing articles found.