Can Tests Based on Option Hedging Errors Correctly Identify Volatility Risk Premia?

Journal of Financial and Quantitative Analysis - United Kingdom
doi 10.1017/s0022109000014447
Full Text
Abstract

Available in full text

Date
Authors
Publisher

Cambridge University Press (CUP)

Related search

Inflation Risk Premia, Yield Volatility and Macro Factors

SSRN Electronic Journal
2018English

Determinants of Hedging and Risk Premia in Commodity Futures Markets

Journal of Financial and Quantitative Analysis
AccountingEconomicsEconometricsFinance
1989English

Can Physicians Identify Inappropriate Nuclear Stress Tests?

Circulation. Cardiovascular quality and outcomes
MedicineCardiovascular MedicineCardiology
2015English

Bond Risk Premia in Consumption-Based Models

SSRN Electronic Journal
2017English

Expectations of Equity Risk Premia, Volatility and Asymmetry From a Corporate Finance Perspective

SSRN Electronic Journal
2001English

Expectations of Equity Risk Premia, Volatility and Asymmetry From a Corporate Finance Perspective

2001English

Target Volatility Option Pricing

International Journal of Theoretical and Applied Finance
EconomicsEconometricsFinance
2012English

On Bounding Credit Event Risk Premia

SSRN Electronic Journal
2012English

A Tale of Two Option Markets: Pricing Kernels and Volatility Risk

SSRN Electronic Journal
2014English

Amanote Research

Note-taking for researchers

Follow Amanote

© 2024 Amaplex Software S.P.R.L. All rights reserved.

Privacy PolicyRefund Policy