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  • Search: subject:"Moment-adjusted option pricing formula"
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Year of publication
Subject
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Delta-neutral portfolio 2 Idiosyncratic volatility risk 2 Macro-factors 2 Moment-adjusted option pricing formula 2 Volatility risk premium 2 Black-Scholes model 1 Black-Scholes-Modell 1 Estimation 1 Hedging 1 Index futures 1 Index-Futures 1 Option pricing theory 1 Option trading 1 Optionsgeschäft 1 Optionspreistheorie 1 Portfolio selection 1 Portfolio-Management 1 Risiko 1 Risikoprämie 1 Risk 1 Risk premium 1 Schätzung 1 Volatility 1 Volatilität 1
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Undetermined 1
Type of publication
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Article 2
Type of publication (narrower categories)
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Article in journal 1 Aufsatz in Zeitschrift 1
Language
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English 1 Undetermined 1
Author
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Chen, Yin-Jung 1 Chen, Yin-jung 1 Lin, Bing-Huei 1 Lin, Bing-huei 1 Lin, Yueh-Neng 1 Lin, Yueh-neng 1
Published in...
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International Review of Economics & Finance 1 International review of economics & finance : IREF 1
Source
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ECONIS (ZBW) 1 RePEc 1
Showing 1 - 2 of 2
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Volatility risk premium decomposition of LIFFE equity options
Lin, Bing-Huei; Lin, Yueh-Neng; Chen, Yin-Jung - In: International Review of Economics & Finance 24 (2012) C, pp. 315-326
This study extends Bakshi and Kapadia's (2003b) framework to a multi-factor model to verify the common macro-factors attributed to the price of volatility risk in U.K. equity options. The results point out the presence of a negative risk premium and indicate that both idiosyncratic volatility...
Persistent link: https://www.econbiz.de/10010943018
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Cover Image
Volatility risk premium decomposition of LIFFE equity options
Lin, Bing-huei; Lin, Yueh-neng; Chen, Yin-jung - In: International review of economics & finance : IREF 24 (2012), pp. 315-326
Persistent link: https://www.econbiz.de/10009690153
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