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?.

Manylion Llyfryddiaeth
Cyhoeddwyd yn:Journal of financial and quantitative analysis V. 48, 1-4,5 (2013).
Prif Awdur: Bali, Turan G.
Fformat: Erthygl
Iaith:English
Pynciau:
Stock options.
Options markets.
Rates of return.
Stock prices.
Volatility.