Explaining S&P500 option returns: an implied risk-adjusted approach
Author:
Funder
Deutsche Forschungsgemeinschaft
Publisher
Springer Science and Business Media LLC
Subject
Management Science and Operations Research
Link
https://link.springer.com/content/pdf/10.1007/s10100-019-00666-5.pdf
Reference30 articles.
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2. Bakshi G, Madan D, Panayotov G (2010) Returns of claims on the upside and the viability of u-shaped pricing kernels. J Financ Econ 97:130–154
3. Bates DS (2000) Post-’87 crash fears in the s&p 500 futures option market. J Economet 94:181–238
4. Benko M, Fengler M, Härdle W, Kopa M (2007) On extracting information implied in options. Comput Stat 22:543–553
5. Black F (1975) Fact and fantasy in the use of options. Financ Anal J 31:36-41+61-72
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