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Three essays in international finance and financial economics
Hu, Xiaoqiang - 1994
Persistent link: https://www.econbiz.de/10000916084
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Default risk and option returns
Vasquez, Aurelio; Xiao, Xiao - In: Management science : journal of the Institute for … 70 (2024) 4, pp. 2144-2167
Persistent link: https://www.econbiz.de/10014519915
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Understanding delta-hedged option returns in stochastic volatility environments
Sasaki, Hiroshi - In: Asia-Pacific financial markets 22 (2015) 2, pp. 151-184
Persistent link: https://www.econbiz.de/10011377526
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The term structure of the price of variance risk
Andries, Marianne; Eisenbach, Thomas M.; Schmalz, Martin C. - 2015
straddles; second, we estimate the PVR in a Heston (1993) stochastic-volatility model. In both cases, the estimation is … more negative and its term structure is steeper when volatility is high. These findings are inconsistent with calibrations …
Persistent link: https://www.econbiz.de/10011303715
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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 : IREF 24 (2012), pp. 315-326
Persistent link: https://www.econbiz.de/10009690153
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Lévy jump risk : evidence from options and returns
Ornthanalai, Chayawat - In: Journal of financial economics 112 (2014) 1, pp. 69-90
Persistent link: https://www.econbiz.de/10010375952
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A global factor in variance risk premia and local bond pricing
Kaminska, Iryna; Roberts-Sklar, Matt - 2015
Persistent link: https://www.econbiz.de/10011443308
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A comparative study of equilibrium equity premium under discrete distributions of jump amplitudes
Mukupa, George M.; Offen, Elias R.; Kunda, Douglas; … - In: Journal of mathematical finance 6 (2016) 1, pp. 232-246
Persistent link: https://www.econbiz.de/10011543918
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Effect of non-normality dynamics on the expected return of options
Figelman, Ilya - In: The journal of portfolio management : a publication of … 35 (2008/09) 2, pp. 110-117
Persistent link: https://www.econbiz.de/10009520407
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Volatility-of-volatility and tail risk hedging returns
Park, Yang-Ho - In: Journal of financial markets 26 (2015), pp. 38-63
Persistent link: https://www.econbiz.de/10011477272