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...
| Published in: | Journal of Finance and Data Science |
|---|---|
| Main Authors: | , |
| Format: | Article |
| Language: | English |
| Published: |
KeAi Communications Co., Ltd.
2018-12-01
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| Online Access: | http://www.sciencedirect.com/science/article/pii/S2405918818300357 |