A Nonlinear Factor Analysis of S&P 500 Index Option Returns
Author:
Publisher
Wiley
Subject
Economics and Econometrics,Finance,Accounting
Link
http://onlinelibrary.wiley.com/wol1/doi/10.1111/j.1540-6261.2006.01059.x/fullpdf
Reference59 articles.
1. Nonparametric estimation of state-price densities implicit in financial asset prices;Aït-Sahalia;Journal of Finance,1998
2. An empirical investigation of continuous-time equity return models;Andersen;Journal of Finance,2002
3. Empirical performance of alternative option pricing models;Bakshi;Journal of Finance,1997
4. Delta-hedged gains and the negative market volatility risk premium;Bakshi;Review of Financial Studies,2003
5. A new approach to international arbitrage pricing;Bansal;Journal of Finance,1993
Cited by 116 articles. 订阅此论文施引文献 订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献
1. The risk and return of equity and credit index options;Journal of Financial Economics;2024-11
2. A factor score clustering approach to analyze the biopharmaceutical sector in the Chinese market during COVID-19;Financial Innovation;2024-08-03
3. Modeling Conditional Factor Risk Premia Implied by Index Option Returns;The Journal of Finance;2024-03-08
4. Price monotonicity violations during stock market crashes: Evidence from the SSE 50 ETF options market;Journal of Futures Markets;2023-12-25
5. The cash-secured put-write strategy and the variance risk premium;Journal of Asset Management;2023-11-17
1.学者识别学者识别
2.学术分析学术分析
3.人才评估人才评估
"同舟云学术"是以全球学者为主线，采集、加工和组织学术论文而形成的新型学术文献查询和分析系统，可以对全球学者进行文献检索和人才价值评估。用户可以通过关注某些学科领域的顶尖人物而持续追踪该领域的学科进展和研究前沿。经过近期的数据扩容，当前同舟云学术共收录了国内外主流学术期刊6万余种，收集的期刊论文及会议论文总量共计约1.5亿篇，并以每天添加12000余篇中外论文的速度递增。我们也可以为用户提供个性化、定制化的学者数据。欢迎来电咨询！咨询电话：010-8811{复制后删除}0370
www.globalauthorid.com
TOP
Copyright © 2019-2024 北京同舟云网络信息技术有限公司 京公网安备11010802033243号 京ICP备18003416号-3