Option Strategies: Good Deals and Margin Calls
By Pedro Santa-clara, Alessio Saretto. 2009
163 citations recorded by the source corpus.
Subfields: Economics and Econometrics, Finance
View Paper: https://www.semanticscholar.org/paper/7ce7704e569d36c1ea9f30a816f8fcacd591f2d5
How researchers see this paper
The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.
In Economics and Econometrics
- Mark Broadie
- Mikhail Chernov
- Liuren Wu
- Michael Johannes
- Markus Leippold
- Daniel Egloff
- V. Todorov
- Tim Bollerslev
In Finance
- Mark Broadie
- Mikhail Chernov
- Liuren Wu
- V. Todorov
- Tim Bollerslev
- Michael Johannes
- Markus Leippold
- Daniel Egloff
Citations in the corpus
- The Term Structure of Variance Swap Rates and Optimal Variance Swap Investments (2010, background): “…path-dependent preferences (Bates (2008)), ambiguity aversion (Liu, Pan, and Wang (2005)), net-buying and demand pressure (Bollen and Whaley (2004), Gârleanu, Pedersen, and Poteshman (2009)), short-selling constraints (Isaenko (2007)), and margin requirements (Santa-Clara and Saretto (2009)).”
- Model Specification and Risk Premia: Evidence from Futures Options (2007, background): “Finally, we consider our risk premium estimates in the context of a rapidly growing literature that identifies a “put-pricing puzzle” (see e.g., Bondarenko (2003), Driessen and Maenhout (2004b), Jones (2006), or Santa-Clara and Saretto (2005)).”
- Explaining Asset Pricing Puzzles Associated with the 1987 Market Crash (2011, unknown): “2A related literature investigates the profits of option trading strategies (e.g., Coval and Shumway (2001) and Santa-Clara and Saretto (2009)) and the economic benefits of giving investors access to derivatives when they solve the portfolio choice problem (e.g., Constantinides et al. (2009),…”