Volatility and expected option returns: a note

DOI10.1016/J.ECONLET.2016.12.014zbMATH Open1398.91570OpenAlexW3124460380MaRDI QIDQ1672838

Mo Chaudhury

Publication date: 11 September 2018

Published in: Economics Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.econlet.2016.12.014

zbMATH Keywords

volatilitycross-section of option returnsexpected option return

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Derivative securities (option pricing, hedging, etc.) (91G20)

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