The cross-section of average delta-hedge option returns under stochastic volatility

Alfredo Ibáñez ()

Review of Derivatives Research, 2008, vol. 11, issue 3, 205-244

Keywords: Average delta-hedged option returns; Stochastic volatility; Volatility risk premium; Option returns and option prices; Incomplete markets; G11; G13 (search for similar items in EconPapers)
Date: 2008
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DOI: 10.1007/s11147-009-9030-9

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