Does risk-neutral skewness predict the cross section of equity option portfolio returns?.

Does risk-neutral skewness predict the cross section of equity option portfolio returns?.

Détails bibliographiques
Publié dans:Journal of financial and quantitative analysis V. 48, 1-4,5 (2013).
Auteur principal: Bali, Turan G.
Format: Article
Langue:English
Sujets:
Stock options.
Options markets.
Rates of return.
Stock prices.
Volatility.