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?.

Библиографические подробности
Опубликовано в::Journal of financial and quantitative analysis V. 48, 1-4,5 (2013).
Главный автор: Bali, Turan G.
Формат: Статья
Язык:English
Предметы:
Stock options.
Options markets.
Rates of return.
Stock prices.
Volatility.