Volatility risk premium, good volatility and bad volatility : evidence from SSE 50 ETF options
Zhe Li, Jiashuang Shen, Weilin Xiao
| Year of publication: |
2024
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| Authors: | Li, Zhe ; Shen, Jiashuang ; Xiao, Weilin |
| Published in: |
The North American journal of economics and finance : a journal of theory and practice. - Amsterdam [u.a.] : Elsevier Science, ISSN 1062-9408, ZDB-ID 2023759-5. - Vol. 74.2024, Art.-No. 102206, p. 1-17
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| Subject: | Option-implied information | Volatility risk premium | Good volatility | Bad volatility | SSE 50 ETF options | Volatilität | Volatility | Risikoprämie | Risk premium | Indexderivat | Index derivative | Optionsgeschäft | Option trading | Optionspreistheorie | Option pricing theory |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.najef.2024.102206 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10015133586