Moneyness, underlying asset volatility, and the cross-section of option returns*
Year of publication: |
2023
|
---|---|
Authors: | Aretz, Kevin ; Lin, Ming-Tsung ; Poon, Ser-Huang |
Published in: |
Review of finance : journal of the European Finance Association. - Oxford : Oxford University Press, ISSN 1875-824X, ZDB-ID 2214390-7. - Vol. 27.2023, 1, p. 289-323
|
Subject: | Asset pricing | Option returns | Moneyness | Total, systematic and idiosyncratic volatility | Volatilität | Volatility | Optionspreistheorie | Option pricing theory | Kapitaleinkommen | Capital income | CAPM |
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