Volatility risk premium decomposition of LIFFE equity options
Year of publication: |
2012
|
---|---|
Authors: | Lin, Bing-Huei ; Lin, Yueh-Neng ; Chen, Yin-Jung |
Published in: |
International Review of Economics & Finance. - Elsevier, ISSN 1059-0560. - Vol. 24.2012, C, p. 315-326
|
Publisher: |
Elsevier |
Subject: | Macro-factors | Volatility risk premium | Idiosyncratic volatility risk | Delta-neutral portfolio | Moment-adjusted option pricing formula |
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