Sasaki, Hiroshi - In: Asia-Pacific Financial Markets 22 (2015) 2, pp. 151-184
<Para ID="Par1">In this paper, we provide a novel representation of delta-hedged option returns in a stochastic volatility environment. The representation of delta-hedged option returns provided in this paper consists of two terms: volatility risk premium and parameter estimation risk. In an empirical analysis,...</para>