Crashes, volatility, and the equity premium : lessons from S&P 500 options
Year of publication: |
2010
|
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Authors: | Santa-Clara, Pedro ; Yan, Shu |
Published in: |
The review of economics and statistics. - Cambridge, Mass. : MIT Press, ISSN 0034-6535, ZDB-ID 207962-8. - Vol. 92.2010, 2, p. 435-451
|
Subject: | Index-Futures | Index futures | Volatilität | Volatility | Risikoprämie | Risk premium | Risiko | Risk | Aktienmarkt | Stock market | Optionspreistheorie | Option pricing theory | USA | United States | 1996-2002 |
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