The effect of option-implied skewness on delta- and vega-hedged option returns
Year of publication: |
2021
|
---|---|
Authors: | Borochin, Paul ; Wu, Zekun ; Zhao, Yanhui |
Published in: |
Journal of international financial markets, institutions & money. - Amsterdam : Elsevier, ISSN 1042-4431, ZDB-ID 1117317-8. - Vol. 74.2021, p. 1-20
|
Subject: | Risk neutral skewness | Options | Return predictability | Kapitaleinkommen | Capital income | Optionspreistheorie | Option pricing theory | Prognoseverfahren | Forecasting model | Optionsgeschäft | Option trading | Statistische Verteilung | Statistical distribution | Schätzung | Estimation | Kapitalmarktrendite | Capital market returns |
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