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DSML.KZ
Researchers
MC

Michal Czerwonko

@michal-czerwonko
OpenAlex
publications
24
citations
169
h-index
6
Publications per year
8
4
1
0
0
0
3
3
1
1
0
2
0
0
0
1
20102025

Affiliations

  • Narxoz University

    2017–2025 · 2 publications

  • Nazarbayev University

    2008–2021 · 9 publications

  • Concordia University

    2006–2021 · 6 publications

  • McGill University

    2010–2017 · 8 publications

  • National Bureau of Economic Research

    2010–2017 · 3 publications

Publications24

  1. Are Options on Index Futures Profitable for Risk‐Averse Investors? Empirical Evidence

    Article · The Journal of Finance · Open access

    842011

  2. Mispriced index option portfolios

    Article · Financial Management · Open access

    252019

  3. Are Options on Index Futures Profitable for Risk Averse Investors? Empirical Evidence

    National Bureau of Economic Research · PDF

    162010

  4. Portfolio Selection with Transaction Costs and Jump-Diffusion Asset Dynamics I: A Numerical Solution

    Article · Quarterly Journal of Finance · Open access

    82016

  5. Mispriced Index Option Portfolios

    National Bureau of Economic Research · PDF

    72017

  6. Transaction Costs and Stochastic Dominance Efficiency in the Index Futures Options Market

    Preprint · SSRN Electronic Journal · Open access

    62006

  7. Portfolio Selection with Transaction Costs and Jump-Diffusion Asset Dynamics II: Economic Implications

    Article · Quarterly Journal of Finance · Open access

    52016

  8. Tick Size, Microstructure Noise, Informed Trading and Volatility Inversion Effects on Price Discovery in Option Markets: Theory and Empirical Evidence

    Preprint · SSRN Electronic Journal · Open access

    52012

  9. Are Options on Index Futures Profitable for Risk Averse Investors‘ Empirical Evidence

    Preprint · SSRN Electronic Journal · Open access

    52008

  10. Index Option Anomalies: How Real Are They?

    Preprint · SSRN Electronic Journal · Open access

    32018

  11. Mispricing of Index Options with Respect to Stochastic Dominance Bounds? A Reply

    Article · Critical Finance Review

    12021

  12. Tick Size, Microstructure Noise and Volatility Inversion Effects on Price Discovery in Option Markets: Theory and Empirical Evidence

    Preprint · SSRN Electronic Journal · Open access

    12011

  13. Tick Size Reduction and Price Discovery in Option Markets: An Empirical Investigation

    Preprint · SSRN Electronic Journal · PDF

    12011

  14. One Security, Four Markets: Canada-US Cross-Listed Options and Underlying Equities

    Preprint · SSRN Electronic Journal · Open access

    12010

  15. Can the Black-Scholes Model Survive under Transaction Costs? An Affirmative Answer

    Preprint · SSRN Electronic Journal · Open access

    12008

  16. Market Structure, Trading Frictions, and the Profitability of Market Making in Index Options

    Preprint · SSRN Electronic Journal · Open access

    —2025

  17. Tail Risk, Almost Stochastic Dominance and Index Option Anomalies

    Preprint · SSRN Electronic Journal · Open access

    —2021

  18. Mispriced Index Option Portfolios

    Preprint · SSRN Electronic Journal · Open access

    —2017

  19. Volatility Momentum

    Preprint · SSRN Electronic Journal · Open access

    —2017

  20. Online Appendix: Portfolio Selection with Transaction Costs and Jump Diffusion Asset Dynamics I and II

    Preprint · SSRN Electronic Journal · Open access

    —2016

  21. Tick Size, Microstructure Noise and Volatility Inversion Effects on Price Discovery in Option Markets: Theory and Empirical Evidence

    Preprint · SSRN Electronic Journal · Open access

    —2011

  22. Portfolio Selection with Transaction Costs and Jump-Diffusion Asset Dynamics

    Preprint · SSRN Electronic Journal · Open access

    —2008

  23. The stochastic dominance valuation of options under transaction costs : extensions, implementation and empirical tests

    Dissertation · Spectrum Research Repository · PDF

    —2008

  24. Stochastic dominance bounds on option prices in the presence of transaction costs : an empirical approach

    Dissertation · Spectrum Research Repository

    —2002