The cross-section of average delta-hedge option returns under stochastic volatility

DOI10.1007/S11147-009-9030-9zbMath1165.91403OpenAlexW1981708796MaRDI QIDQ1029238

Alfredo Ibáñez

Publication date: 10 July 2009

Published in: Review of Derivatives Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11147-009-9030-9

Mathematics Subject Classification ID

Applications of stochastic analysis (to PDEs, etc.) (60H30)

Cites Work

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• Variance dynamics: joint evidence from options and high-frequency returns
• Determinants of S\&P 500 index option returns
• The Shape and Term Structure of the Index Option Smirk: Why Multifactor Stochastic Volatility Models Work So Well
• Transform Analysis and Asset Pricing for Affine Jump-diffusions
• A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
• Do option markets correctly price the probabilities of movement of the underlying asset?

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