C
Charles Cao
Researcher at Pennsylvania State University
Publications - 77
Citations - 8661
Charles Cao is an academic researcher from Pennsylvania State University. The author has contributed to research in topics: Market liquidity & Hedge fund. The author has an hindex of 33, co-authored 77 publications receiving 8223 citations. Previous affiliations of Charles Cao include College of Business Administration & Tsinghua University.
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Empirical Performance of Alternative Option Pricing Models
TL;DR: In this article, an option pricing model that allows volatility, interest rates and jumps to be stochastic is presented. But it is not known whether and by how much each generalization improves option pricing and hedging.
Journal ArticleDOI
Inequality Constraints in the Univariate GARCH Model
Daniel B. Nelson,Charles Cao +1 more
TL;DR: In this paper, Bollerslev et al. show that these constraints can be substantially weakened and so should not be imposed in estimation, and provide empirical examples illustrating the importance of relaxing these constraints.
Posted Content
Empirical Performance of Alternative Option Pricing Models
TL;DR: In this article, the authors developed an implementable option model in closed form that allows volatility, interest rates and jumps to bestochastic and that is parsimonious in the number of parameters.
Posted Content
Informational Content of Option Volume Prior to Takeovers
TL;DR: In this paper, the authors examined the information embedded in both the stock and option markets prior to takeover announcements and found that call volume imbalances are strongly positively related to next-day stock returns, and that those takeover targets with the largest pre-announcement call-imbalance increases experience the highest announcement-day returns.
Journal ArticleDOI
Can Growth Options Explain the Trend in Idiosyncratic Risk
TL;DR: In this paper, the authors established a theoretical link between the level and variance of corporate growth options available to managers and the idiosyncratic risk of equity and found that growth options explain the trend in idiosyncratic volatility beyond alternative explanations.