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?.

Bibliographische Detailangaben
Veröffentlicht in:Journal of financial and quantitative analysis V. 48, 1-4,5 (2013).
1. Verfasser: Bali, Turan G.
Format: Artikel
Sprache:English
Schlagworte:
Stock options.
Options markets.
Rates of return.
Stock prices.
Volatility.