Por favor, use este identificador para citar o enlazar este ítem:
http://hdl.handle.net/11531/35858
Registro completo de metadatos
Campo DC | Valor | Lengua/Idioma |
---|---|---|
dc.contributor.author | Ibañez Rodríguez, Alfredo | es-ES |
dc.date.accessioned | 2019-03-18T15:23:13Z | - |
dc.date.available | 2019-03-18T15:23:13Z | - |
dc.date.issued | 01/03/2008 | es_ES |
dc.identifier.issn | 1380-6645 | es_ES |
dc.identifier.uri | http://hdl.handle.net/11531/35858 | - |
dc.description | Artículos en revistas | es_ES |
dc.description.abstract | Mostramos como el riesgo de volatilidad estocástica y un premio negativo a este riesgo de volatilidad explica el rendimiento medio de comprar opciones put y stradles, que es negativo | es-ES |
dc.description.abstract | Existing evidence indicates that average returns of purchased market-hedge S&P 500 index calls, puts, and straddles are non-zero but large and negative, which implies that options are expensive. This result is intuitively by means of volatility risk and a negative volatility risk premium, but there is a recent surge of empirical and analytical studies which also attempt to find the sources of this premium. An important question in the line of a priced volatility explanation is if a standard stochastic volatility model can also explain the cross-sectional findings of these empirical studies. The answer is fairly positive. The volatility elasticity of calls and puts is several times the level of market volatility, depending on moneyness and maturity, and implies a rich cross-section of negative average option returns even if volatility risk is not priced heavily, albeit negative. We introduce and calibrate a new measure of option overprice to explain these results. This measure is robust to jump risk if jumps are not priced. | en-GB |
dc.language.iso | en-GB | es_ES |
dc.rights | Creative Commons Reconocimiento-NoComercial-SinObraDerivada España | es_ES |
dc.rights.uri | http://creativecommons.org/licenses/by-nc-nd/3.0/es/ | es_ES |
dc.source | Revista: Review of Derivatives Research, Periodo: 3, Volumen: 11, Número: 3, Página inicial: 205, Página final: 244 | es_ES |
dc.title | The Cross-section of Average Delta-hedge Option Returns under Stochastic Volatility | es_ES |
dc.type | info:eu-repo/semantics/article | es_ES |
dc.description.version | info:eu-repo/semantics/publishedVersion | es_ES |
dc.rights.holder | es_ES | |
dc.rights.accessRights | info:eu-repo/semantics/openAccess | es_ES |
dc.keywords | Option risk premium, delta hedging, vega hedging, stochastic volatility, jumps | es-ES |
dc.keywords | Option risk premium, delta hedging, vega hedging, stochastic volatility, jumps | en-GB |
Aparece en las colecciones: | Artículos |
Ficheros en este ítem:
No hay ficheros asociados a este ítem.
Los ítems de DSpace están protegidos por copyright, con todos los derechos reservados, a menos que se indique lo contrario.