Explaining S{\&}P500 option returns: an implied risk-adjusted approach

DOI10.1007/S10100-019-00666-5OpenAlexW2995892486MaRDI QIDQ2045631

David Volkmann

Publication date: 13 August 2021

Published in: CEJOR. Central European Journal of Operations Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10100-019-00666-5

zbMATH Keywords

expected option returnoption mispricing puzzleU-shaped pricing kernel

Mathematics Subject Classification ID

Operations research and management science (90Bxx)

Cites Work

• The Pricing of Options and Corporate Liabilities
• On extracting information implied in options
• Risk-adjusted option-implied moments
• Post-'87 crash fears in the S\&P 500 futures option market
• Risk Aversion in the Small and in the Large
• On the Theory of Risk Aversion

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