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Language: en
Pages: 19
Pages: 19
Type: BOOK - Published: 2017 - Publisher:
We analyze the relation between expected option returns and the volatility of the underlying securities. The expected return from holding a call (put) option is
Language: en
Pages: 35
Pages: 35
Type: BOOK - Published: 2009 - Publisher:
This paper examines expected option returns in the context of mainstream asset pricing theory. Under mild assumptions, call options have expected returns which
Language: en
Pages: 40
Pages: 40
Type: BOOK - Published: 2009 - Publisher:
The paper analyzes expected option returns in models with stochastic volatility and jumps. A comparison with empirically documented returns shows that the abili
Language: en
Pages:
Pages:
Type: BOOK - Published: 2020 - Publisher:
Language: en
Pages: 64
Pages: 64
Type: BOOK - Published: 1999 - Publisher: