Why does volatility uncertainty predict equity option returns?
Jie (Jay) Cao, Aurelio Vasquez, Xiao Xiao, Xintong Eunice Zhan
| Year of publication: |
2023
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|---|---|
| Authors: | Cao, Jie Jay ; Vasquez, Aurelio ; Xiao, Xiao ; Zhan, Xintong (Eunice) |
| Published in: |
The Quarterly Journal of Finance : QJF. - Singapore : World Scientific Publ., ISSN 2010-1406, ZDB-ID 2600942-0. - Vol. 13.2023, 1, Art.-No. 2350005, p. 1-35
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| Subject: | Delta-hedged option returns | gambling preference | model risk | volatility uncertainty | volatility-of-volatility | Volatilität | Volatility | Risiko | Risk | Optionspreistheorie | Option pricing theory | Börsenkurs | Share price | Optionsgeschäft | Option trading | Kapitaleinkommen | Capital income | Glücksspiel | Gambling |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1142/S2010139223500052 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10014305078