Determinants of S\&P 500 index option returns

DOI10.1007/s11147-007-9015-5zbMath1151.91698OpenAlexW2021264188MaRDI QIDQ941727

Jing-Zhi Huang, Charles Cao

Publication date: 2 September 2008

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

Full work available at URL: https://doi.org/10.1007/s11147-007-9015-5

zbMATH Keywords

Factor analysisEqually weighted option indexMean-variance spanningOption implied volatilityOption returns

Mathematics Subject Classification ID

Statistical methods; economic indices and measures (91B82)

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A dynamic equilibrium model for U-shaped pricing kernels, The cross-section of average delta-hedge option returns under stochastic volatility, Combination of transition probability distribution and stable Lorentz distribution in stock markets

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