Volatility and expected option returns: a note
type: Item
instance of: scholarly article
title: Volatility and expected option returns: a note
zbMATH Open document ID: 1398.91570
author: Mo Chaudhury
published in: Economics Letters
publication date: 2018-09-11T00:00:00Z
Mathematics Subject Classification ID: 91G20
Mathematics Subject Classification ID: 91G60
zbMATH DE Number: 6934804
zbMATH Keywords: volatility
zbMATH Keywords: expected option return
zbMATH Keywords: cross-section of option returns
MaRDI profile type: Publication
full work available at URL: j.econlet.2016.12.014
OpenAlex ID: W3124460380
DOI: 10.1016/J.ECONLET.2016.12.014
Recommended article: An empirical model of volatility of returns and option pricing
Recommended article: Q4629212
Recommended article: Moneyness, Underlying Asset Volatility, and the Cross-Section of Option Returns
Recommended article: Deterministic volatility models and dynamics of option returns
Recommended article: Q2741130
Recommended article: Learning and forecasts about option returns through the volatility risk premium
Recommended article: The Valuation of Volatility Options
Recommended article: Volatility in options formulae for general stochastic dynamics
Recommended article: Option-implied value-at-risk and the cross-section of stock returns
Recommended article: Volatility Spreads and Expected Stock Returns
description: scientific article; zbMATH DE number 6934804