Cao, Charles Quanwei; Bakshi, Gurdip S.; Chen, Zhiwu - School of Management, Yale University - 1998
framework only helps the pricing of extremely short-term options but not the hedging performance. Given that only options of … relatively short terms are used in existing studies, this paper addresses two related questions: Do long-term options contain … different information than short-term options? If so, can long-term options better differentiate among alternative models? Our …