Call-Put Implied Volatility Spreads and Option Returns
Author:
Publisher
Oxford University Press (OUP)
Subject
Economics and Econometrics,Finance
Link
http://academic.oup.com/raps/article-pdf/3/2/258/5430609/rat006.pdf
Reference41 articles.
1. Ang A Bali T G Cakici N . Working Paper, Columbia Business School; 2012. The joint cross-section of stocks and options.
2. Downside Risk
3. Delta-Hedged Gains and the Negative Market Volatility Risk Premium
4. Volatility Risk Premiums Embedded in Individual Equity Options
5. Stock Return Characteristics, Skew Laws, and the Differential Pricing of Individual Equity Options
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