Index option returns and systemic equity risk
In an environment characterized by stochastic variances and correlations, we demonstrate through construction of the equilibrium index option value from constituent components, that the generalized PDE identifies the stochastic elements differentially affecting index option prices relative to prices...
| الحاوية / القاعدة: | Journal of Finance and Data Science |
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| المؤلفون الرئيسيون: | , |
| التنسيق: | مقال |
| اللغة: | الإنجليزية |
| منشور في: |
KeAi Communications Co., Ltd.
2018-12-01
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| الوصول للمادة أونلاين: | http://www.sciencedirect.com/science/article/pii/S2405918818300357 |