Effect of non-normality dynamics on the expected return of options
Year of publication: |
2009
|
---|---|
Authors: | Figelman, Ilya |
Published in: |
The journal of portfolio management : a publication of Institutional Investor. - New York, NY : Pageant Media Ltd., ISSN 0095-4918, ZDB-ID 197145-1. - Vol. 35.2008/09, 2, p. 110-117
|
Subject: | Kapitaleinkommen | Capital income | Volatilität | Volatility | Optionspreistheorie | Option pricing theory | Schätzung | Estimation | Risikoprämie | Risk premium |
-
Volatility risk premium decomposition of LIFFE equity options
Lin, Bing-huei, (2012)
-
A global factor in variance risk premia and local bond pricing
Kaminska, Iryna, (2015)
-
The risk premia embedded in index options
Andersen, Torben, (2015)
- More ...
-
Expected return and risk of covered call strategies
Figelman, Ilya, (2008)
-
Interaction of Stock Return Momentum With Earnings Measures
Figelman, Ilya, (2007)
-
Black-Litterman with a factor strucure applied to multi-asset portfolios
Figelman, Ilya, (2018)
- More ...