July 6-9, 2021, Online and Onsite in Shanghai, China

Session Details

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Time:Friday, July 9, 2021 8:00 - 9:45Location:Stream 7Session Chair:Neil Pearson, University of Illinois at Urbana-Champaign Zoom:

Momentum, Reversal, and Seasonality in Option Returns

Christopher Jones; University of Southern California

Mehdi Khorram; Louisiana State University

Haitao Mo; Louisiana State University

  Presenter: Haitao Mo, Louisiana State University

  Discussant: Xiaoyan Zhang, PBC School of Finance, Tsinghua University

Limits of Dynamic Hedging and Option Risk Premium

Meng Tian; Baruch College, The City University of New York

Liuren Wu; Baruch College, The City University of New York

  Presenter: Liuren Wu, Baruch College, The City University of New York

  Discussant: Jianfeng Hu, Singapore Management University

Asymmetries and the Market for Put Options

Adam Farago; University of Gothenburg

Mariana Khapko; University of Toronto

  Presenter: Mariana Khapko, University of Toronto

  Discussant: David Schreindorfer, Arizona State University

Distorting Arrow-Debreu Securities: New Entropy Restrictions Implied by the Option Cross Section

Fousseni Chabi-Yo; University of Massachusetts-Amherst

Yan Liu; Purdue University

  Presenter: Fousseni Chabi-Yo, University of Massachusetts-Amherst

  Discussant: Xiaoyang Zhuo, Beijing Institute of Technology

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