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The Risk-Neutral Distribution...
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ECONIS (ZBW)
383
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97
OLC EcoSci
70
EconStor
14
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81
A margin requirement based return calculation for portofolios of short option positions
Murray, Scott
- In:
Managerial finance
39
(
2013
)
6
,
pp. 550-568
Persistent link: https://www.econbiz.de/10009750626
Saved in:
82
Expected returns and volatility of Fama-French factors
Chabi-Yo, Fousseni
-
2009
-
This version: September 25, 2009
Persistent link: https://www.econbiz.de/10003887678
Saved in:
83
Pricing kernels with stochastic skewness and volatility risk
Chabi-yo, Fousseni
- In:
Management science : journal of the Institute for …
58
(
2012
)
3
,
pp. 624-640
Persistent link: https://www.econbiz.de/10009525254
Saved in:
84
Explaining the idiosyncratic volatility puzzle using Stochastic Discount Factors
Chabi-Yo, Fousseni
- In:
Journal of banking & finance
35
(
2011
)
8
,
pp. 1971-1983
Persistent link: https://www.econbiz.de/10009247371
Saved in:
85
Conditioning information and variance bounds on pricing kernels with higher-order moments : theory and evidence
Chabi-Yo, Fousseni
- In:
The review of financial studies
21
(
2008
)
1
,
pp. 181-231
Persistent link: https://www.econbiz.de/10003716152
Saved in:
86
Pricing kernels with coskewness and volatility risk
Chabi-Yo, Fousseni
-
2008
-
This version : December 1, 2008
Persistent link: https://www.econbiz.de/10003819936
Saved in:
87
A margin requirement based return calculation for portfolios of short option positions
Murray, Scott
- In:
Managerial Finance
39
(
2013
),
pp. 550-568
Purpose – Short option positions carry significant risk of losses well in excess of 100 per cent of the initial option price. Margin requirements associated with such positions are therefore considerable. The purpose of this paper is to develop a methodology for calculating margin...
Persistent link: https://www.econbiz.de/10010691525
Saved in:
88
A margin requirement based return calculation for portfolios of short option positions
Murray, Scott
- In:
Managerial Finance
39
(
2013
),
pp. 550-568
Purpose – Short option positions carry significant risk of losses well in excess of 100 per cent of the initial option price. Margin requirements associated with such positions are therefore considerable. The purpose of this paper is to develop a methodology for calculating margin...
Persistent link: https://www.econbiz.de/10010709741
Saved in:
89
Bear beta
Lu, Zhongijn
;
Murray, Scott
- In:
Journal of financial economics
131
(
2019
)
3
,
pp. 736-760
Persistent link: https://www.econbiz.de/10012133542
Saved in:
90
Using the results of a national assessment of educational achievement
Kellaghan, Thomas
-
2009
Persistent link: https://www.econbiz.de/10011393381
Saved in:
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