A study of the relationship between volatility premium and option returns over different time horizons: an ex-post and ex-ante empirical analysis using bid-ask data
There are three distinct avenues of empirical research relating to option returns. (1) attempts to explain option returns; (2) analysis of models forecasting option implied volatility (IV) versus alternative forecasts of futures realized volatility (RV); and (3) estimation of the economic benefit of...
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| Format: | Others |
| Language: | English |
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HKBU Institutional Repository
2016
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| Online Access: | https://repository.hkbu.edu.hk/etd_oa/307 https://repository.hkbu.edu.hk/cgi/viewcontent.cgi?article=1307&context=etd_oa |