The cross-section of average delta-hedge option returns under stochastic volatility
| Year of publication: |
2008
|
|---|---|
| Authors: | Ibáñez, Alfredo |
| Published in: |
Review of Derivatives Research. - Springer. - Vol. 11.2008, 3, p. 205-244
|
| Publisher: |
Springer |
| Subject: | Average delta-hedged option returns | Stochastic volatility | Volatility risk premium | Option returns and option prices | Incomplete markets |
| Extent: | text/html |
|---|---|
| Type of publication: | Article |
| Source: |
Persistent link: https://www.econbiz.de/10005067999