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Does risk-neutral skewness predict the cross section of equity option portfolio returns?
Bali, Turan G.; Murray, Scott - In: Journal of financial and quantitative analysis : JFQA 48 (2013) 4, pp. 1145-1171
Persistent link: https://www.econbiz.de/10010255208
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Does Risk-Neutral Skewness Predict the Cross-Section of Equity Option Portfolio Returns?
Bali, Turan G. - 2012
We investigate the pricing of risk-neutral skewness in the stock options market by creating skewness assets comprised of two option positions (one long and one short) and a position in the underlying stock. The assets are created such that exposure to changes in the price of the underlying stock...
Persistent link: https://www.econbiz.de/10013111682
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Does Risk-Neutral Skewness Predict the Cross-Section of Equity Option Portfolio Returns?
Bali, Turan G. - 2013
We investigate the pricing of risk-neutral skewness in the stock options market by creating skewness assets comprised of two option positions (one long and one short) and a position in the underlying stock. The assets are created such that exposure to changes in the underlying stock price...
Persistent link: https://www.econbiz.de/10013094978
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On the qualitative effect of volatility and duration on prices of Asian options
Carr, Peter; Ewald, Christian-Oliver; Xiao, Yajun - In: Finance research letters 5 (2008) 3, pp. 162-171
Persistent link: https://www.econbiz.de/10003769897
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Time-changed Markov processes in unified credit-equity modeling
Mendoza-Arriaga, Rafael; Carr, Peter; Linetsky, Vadim - In: Mathematical finance : an international journal of … 20 (2010) 4, pp. 527-569
Persistent link: https://www.econbiz.de/10008666998
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Pricing swaps and options on quadratic variation under stochastic time change models : discrete observations case
Itkin, Andrey; Carr, Peter - In: Review of derivatives research 13 (2010) 2, pp. 141-176
Persistent link: https://www.econbiz.de/10008695493
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Put-call symmetry : extensions and applications
Carr, Peter; Lee, Roger - In: Mathematical finance : an international journal of … 19 (2009) 4, pp. 523-560
Persistent link: https://www.econbiz.de/10003937125
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Saddlepoint methods for option pricing
Carr, Peter; Madan, Dilip B. - In: The journal of computational finance 13 (2009/10) 1, pp. 49-61
Persistent link: https://www.econbiz.de/10003969743
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Hedging variance options on continuous semimartingales
Carr, Peter; Lee, Roger - In: Finance and stochastics 14 (2010) 2, pp. 179-207
Persistent link: https://www.econbiz.de/10003951494
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On the qualitative effect of volatility and duration on prices of Asian options
Carr, Peter; Ewald, CXhristian-Oliver; Xiao, Yajun - 2008
Persistent link: https://www.econbiz.de/10003680543