{"id":"https://openalex.org/W2995892486","doi":"https://doi.org/10.1007/s10100-019-00666-5","title":"Explaining S&amp;P500 option returns: an implied risk-adjusted approach","display_name":"Explaining S&amp;P500 option returns: an implied risk-adjusted approach","publication_year":2019,"publication_date":"2019-12-11","ids":{"openalex":"https://openalex.org/W2995892486","doi":"https://doi.org/10.1007/s10100-019-00666-5","mag":"2995892486"},"language":"en","primary_location":{"id":"doi:10.1007/s10100-019-00666-5","is_oa":false,"landing_page_url":"https://doi.org/10.1007/s10100-019-00666-5","pdf_url":null,"source":{"id":"https://openalex.org/S161053114","display_name":"Central European Journal of Operations Research","issn_l":"1435-246X","issn":["1435-246X","1613-9178"],"is_oa":false,"is_in_doaj":false,"is_core":true,"host_organization":"https://openalex.org/P4310319900","host_organization_name":"Springer Science+Business Media","host_organization_lineage":["https://openalex.org/P4310319900","https://openalex.org/P4310319965"],"host_organization_lineage_names":["Springer Science+Business Media","Springer Nature"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Central European Journal of Operations Research","raw_type":"journal-article"},"type":"article","indexed_in":["crossref"],"open_access":{"is_oa":true,"oa_status":"green","oa_url":"https://resolver.sub.uni-goettingen.de/purl?gro-2/138222","any_repository_has_fulltext":true},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5044614124","display_name":"David Volkmann","orcid":"https://orcid.org/0000-0002-5711-6974"},"institutions":[{"id":"https://openalex.org/I74656192","display_name":"University of G\u00f6ttingen","ror":"https://ror.org/01y9bpm73","country_code":"DE","type":"education","lineage":["https://openalex.org/I74656192"]}],"countries":["DE"],"is_corresponding":true,"raw_author_name":"David Volkmann","raw_affiliation_strings":["Chair of Finance, Georg-August-Universit\u00e4t G\u00f6ttingen, Platz der G\u00f6ttinger Sieben 3, 37073, G\u00f6ttingen, Germany"],"raw_orcid":"https://orcid.org/0000-0002-5711-6974","affiliations":[{"raw_affiliation_string":"Chair of Finance, Georg-August-Universit\u00e4t G\u00f6ttingen, Platz der G\u00f6ttinger Sieben 3, 37073, G\u00f6ttingen, Germany","institution_ids":["https://openalex.org/I74656192"]}]}],"institutions":[],"countries_distinct_count":1,"institutions_distinct_count":1,"corresponding_author_ids":["https://openalex.org/A5044614124"],"corresponding_institution_ids":["https://openalex.org/I74656192"],"apc_list":{"value":2890,"currency":"USD","value_usd":2890},"apc_paid":null,"fwci":0.254,"has_fulltext":false,"cited_by_count":2,"citation_normalized_percentile":{"value":0.63208358,"is_in_top_1_percent":false,"is_in_top_10_percent":false},"cited_by_percentile_year":{"min":89,"max":95},"biblio":{"volume":"29","issue":"2","first_page":"665","last_page":"685"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T10067","display_name":"Stochastic processes and financial applications","score":0.9977999925613403,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},"topics":[{"id":"https://openalex.org/T10067","display_name":"Stochastic processes and financial applications","score":0.9977999925613403,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T10047","display_name":"Financial Markets and Investment Strategies","score":0.9926999807357788,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T11976","display_name":"Capital Investment and Risk Analysis","score":0.9926999807357788,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}}],"keywords":[{"id":"https://openalex.org/keywords/valuation-of-options","display_name":"Valuation of options","score":0.7312171459197998},{"id":"https://openalex.org/keywords/economics","display_name":"Economics","score":0.6423566937446594},{"id":"https://openalex.org/keywords/econometrics","display_name":"Econometrics","score":0.5750910043716431},{"id":"https://openalex.org/keywords/asian-option","display_name":"Asian option","score":0.49420931935310364},{"id":"https://openalex.org/keywords/stochastic-discount-factor","display_name":"Stochastic discount factor","score":0.45836716890335083},{"id":"https://openalex.org/keywords/moneyness","display_name":"Moneyness","score":0.45430123805999756},{"id":"https://openalex.org/keywords/financial-economics","display_name":"Financial economics","score":0.36426615715026855},{"id":"https://openalex.org/keywords/capital-asset-pricing-model","display_name":"Capital asset pricing model","score":0.2780034840106964}],"concepts":[{"id":"https://openalex.org/C194483076","wikidata":"https://www.wikidata.org/wiki/Q380382","display_name":"Valuation of options","level":2,"score":0.7312171459197998},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.6423566937446594},{"id":"https://openalex.org/C149782125","wikidata":"https://www.wikidata.org/wiki/Q160039","display_name":"Econometrics","level":1,"score":0.5750910043716431},{"id":"https://openalex.org/C1898038","wikidata":"https://www.wikidata.org/wiki/Q728255","display_name":"Asian option","level":3,"score":0.49420931935310364},{"id":"https://openalex.org/C33175817","wikidata":"https://www.wikidata.org/wiki/Q3740200","display_name":"Stochastic discount factor","level":3,"score":0.45836716890335083},{"id":"https://openalex.org/C173921975","wikidata":"https://www.wikidata.org/wiki/Q1806850","display_name":"Moneyness","level":2,"score":0.45430123805999756},{"id":"https://openalex.org/C106159729","wikidata":"https://www.wikidata.org/wiki/Q2294553","display_name":"Financial economics","level":1,"score":0.36426615715026855},{"id":"https://openalex.org/C181236170","wikidata":"https://www.wikidata.org/wiki/Q848354","display_name":"Capital asset pricing model","level":2,"score":0.2780034840106964}],"mesh":[],"locations_count":3,"locations":[{"id":"doi:10.1007/s10100-019-00666-5","is_oa":false,"landing_page_url":"https://doi.org/10.1007/s10100-019-00666-5","pdf_url":null,"source":{"id":"https://openalex.org/S161053114","display_name":"Central European Journal of Operations Research","issn_l":"1435-246X","issn":["1435-246X","1613-9178"],"is_oa":false,"is_in_doaj":false,"is_core":true,"host_organization":"https://openalex.org/P4310319900","host_organization_name":"Springer Science+Business Media","host_organization_lineage":["https://openalex.org/P4310319900","https://openalex.org/P4310319965"],"host_organization_lineage_names":["Springer Science+Business Media","Springer Nature"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Central European Journal of Operations Research","raw_type":"journal-article"},{"id":"pmh:oai:RePEc:spr:cejnor:v:29:y:2021:i:2:d:10.1007_s10100-019-00666-5","is_oa":false,"landing_page_url":"http://link.springer.com/10.1007/s10100-019-00666-5","pdf_url":null,"source":{"id":"https://openalex.org/S4306401271","display_name":"RePEc: Research Papers in Economics","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"host_organization":"https://openalex.org/I77793887","host_organization_name":"Federal Reserve Bank of St. Louis","host_organization_lineage":["https://openalex.org/I77793887"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":null,"raw_type":"article"},{"id":"pmh:oai:publications.goettingen-research-online.de:2/138222","is_oa":true,"landing_page_url":"https://resolver.sub.uni-goettingen.de/purl?gro-2/138222","pdf_url":null,"source":{"id":"https://openalex.org/S4306401634","display_name":"GoeScholar  The Publication Server of the Georg-August-Universit\u00e4t G\u00f6ttingen (Georg-August-Universit\u00e4t G\u00f6ttingen)","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"host_organization":"https://openalex.org/I4210122495","host_organization_name":"Asklepios Klinik St. Georg","host_organization_lineage":["https://openalex.org/I4210122495"],"host_organization_lineage_names":[],"type":"repository"},"license":"cc-by","license_id":"https://openalex.org/licenses/cc-by","version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":"","raw_type":"info:eu-repo/semantics/article"}],"best_oa_location":{"id":"pmh:oai:publications.goettingen-research-online.de:2/138222","is_oa":true,"landing_page_url":"https://resolver.sub.uni-goettingen.de/purl?gro-2/138222","pdf_url":null,"source":{"id":"https://openalex.org/S4306401634","display_name":"GoeScholar  The Publication Server of the Georg-August-Universit\u00e4t G\u00f6ttingen (Georg-August-Universit\u00e4t G\u00f6ttingen)","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"host_organization":"https://openalex.org/I4210122495","host_organization_name":"Asklepios Klinik St. Georg","host_organization_lineage":["https://openalex.org/I4210122495"],"host_organization_lineage_names":[],"type":"repository"},"license":"cc-by","license_id":"https://openalex.org/licenses/cc-by","version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":"","raw_type":"info:eu-repo/semantics/article"},"sustainable_development_goals":[{"id":"https://metadata.un.org/sdg/9","score":0.41999998688697815,"display_name":"Industry, innovation and infrastructure"}],"awards":[{"id":"https://openalex.org/G226186649","display_name":null,"funder_award_id":"[UH 107/4-1, KO 2285/3-1]","funder_id":"https://openalex.org/F4320320879","funder_display_name":"Deutsche Forschungsgemeinschaft"}],"funders":[{"id":"https://openalex.org/F4320320879","display_name":"Deutsche Forschungsgemeinschaft","ror":"https://ror.org/018mejw64"}],"has_content":{"pdf":false,"grobid_xml":false},"content_urls":null,"referenced_works_count":32,"referenced_works":["https://openalex.org/W84114087","https://openalex.org/W1501827179","https://openalex.org/W1533633154","https://openalex.org/W1816654404","https://openalex.org/W1887511108","https://openalex.org/W1978368160","https://openalex.org/W1998198470","https://openalex.org/W2034241492","https://openalex.org/W2071058234","https://openalex.org/W2077791698","https://openalex.org/W2110553447","https://openalex.org/W2116455234","https://openalex.org/W2162834287","https://openalex.org/W2176627247","https://openalex.org/W2580645530","https://openalex.org/W3023688799","https://openalex.org/W3121239128","https://openalex.org/W3121459779","https://openalex.org/W3121514346","https://openalex.org/W3122912258","https://openalex.org/W3122992779","https://openalex.org/W3123822985","https://openalex.org/W3123986671","https://openalex.org/W3124461761","https://openalex.org/W3124520208","https://openalex.org/W3124800962","https://openalex.org/W3124973140","https://openalex.org/W3125398202","https://openalex.org/W3125616152","https://openalex.org/W4232064139","https://openalex.org/W4252707658","https://openalex.org/W4285719527"],"related_works":["https://openalex.org/W3201761445","https://openalex.org/W2562435088","https://openalex.org/W2372394234","https://openalex.org/W2479733336","https://openalex.org/W1572306738","https://openalex.org/W3161176953","https://openalex.org/W2485192674","https://openalex.org/W2358859843","https://openalex.org/W2668740567","https://openalex.org/W1667345438"],"abstract_inverted_index":null,"counts_by_year":[{"year":2025,"cited_by_count":1},{"year":2021,"cited_by_count":1}],"updated_date":"2026-07-29T09:40:50.615796","created_date":"2025-10-10T00:00:00"}
