Illiquidity Premia in the Equity Options Market

By Peter F. Christoffersen, Ruslan Goyenko, Kris Jacobs, M. Karoui. 2018

143 citations recorded by the source corpus.

Subfields: Finance

View Paper: https://www.semanticscholar.org/paper/52d44174216da29b84c90cf7a15b66f7fb249e60

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Finance

1. Alexi Savov
2. Jens Carsten Jackwerth
3. George M. Constantinides
4. Alan Moreira
5. Tyler Muir
6. Amit Goyal
7. Pietro Veronesi
8. Alexander David

Citations in the corpus

• The Puzzle of Index Option Returns (2013, background): “Many of these models are critically discussed in Jackwerth (2004), Singleton (2006), Lian (2011), Hull (2012), andMcDonald (2013).”