Optimal option portfolio strategies : deepening the puzzle of index option mispricing
José Afonso Faias and Pedro Santa-Clara
| Year of publication: |
February 2017
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|---|---|
| Authors: | Faias, José Afonso ; Santa-Clara, Pedro |
| Published in: |
Journal of financial and quantitative analysis : JFQA. - New York, NY [u.a.] : Cambridge University Press, ISSN 0022-1090, ZDB-ID 219406-5. - Vol. 52.2017, 1, p. 277-303
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| Subject: | Indexderivat | Index derivative | Optionsgeschäft | Option trading | Portfolio-Management | Portfolio selection | Transaktionskosten | Transaction costs | Risikoprämie | Risk premium | USA | United States | 1996-2013 |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1017/S0022109016000831 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011667735