The Cross-Section of Average Delta-Hedge Option Returns Under Stochastic Volatility

2009 ◽  
Author(s):  
Alfredo Ibanez
Keyword(s):  
Stochastic Volatility ◽  
Cross Section ◽  
Option Returns ◽  
The Cross ◽  
Delta Hedge

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

2008 ◽  
Vol 11 (3) ◽  
pp. 205-244
Author(s):  
Alfredo Ibáñez
Keyword(s):  
Stochastic Volatility ◽  
Cross Section ◽  
Option Returns ◽  
The Cross ◽  
Delta Hedge

Consumption Risk and the Cross-Section of Option Returns

2018 ◽  
Author(s):  
Kevin Aretz ◽  
Hening Liu ◽  
Shuwen Yang ◽  
Yuzhao Zhang
Keyword(s):  
Cross Section ◽  
Option Returns ◽  
The Cross ◽  
Consumption Risk

Mispricing, Short-Sale Constraints, and the Cross-Section of Option Returns

2020 ◽  
Author(s):  
Lakshmi Shankar Ramachandran ◽  
Jitendra Tayal
Keyword(s):  
Cross Section ◽  
Short Sale Constraints ◽  
Short Sale ◽  
Option Returns ◽  
The Cross

Mispricing, short-sale constraints, and the cross-section of option returns

2021 ◽  
Author(s):  
Lakshmi Shankar Ramachandran ◽  
Jitendra Tayal
Keyword(s):  
Cross Section ◽  
Short Sale Constraints ◽  
Short Sale ◽  
Option Returns ◽  
The Cross

The Determinants of the KOSPI200 Index Option Returns

2016 ◽  
Vol 24 (1) ◽  
pp. 65-96
Author(s):  
Byung Jin Kang
Keyword(s):  
Cross Section ◽  
Global Financial Crisis ◽  
Factor Model ◽  
Related Factor ◽  
Related Factors ◽  
Cross Sectional ◽  
Option Returns ◽  
The Cross ◽  
The Global Financial Crisis ◽  
Index Option

This study examines the effects of crisis-related factors on the returns of KOSPI200 index options using a factor model, which was introduced by Constantinides, Jackwerth and Savov (2013). Three factors incorporating price jumps, changes in volatility, and volatility jumps are considered as the crisis-related factors. With the data for the period from 2004 to 2015, we find followings : First, most of the crisis-related factor premia are statistically significant, and their signs are consistent with those expected. Second, these crisis-related factors contribute to improve the understanding of the cross-sectional variation in KOSPI200 index option returns. Third, the crisis-related factor premia became much more significant after the global financial crisis in 2008. Finally, our empirical findings are robust to whether the long options and the in-the-money options are included in the sample or not, and to whether the factor premia are constrained to equal the corresponding premia estimated from the cross-section of equities.

Volatility Mean Reversion and the Cross-Section of Option Returns

2009 ◽  
Author(s):  
Aurelio Vasquez
Keyword(s):  
Cross Section ◽  
Mean Reversion ◽  
Option Returns ◽  
The Cross

Macroeconomic uncertainty and the cross-section of option returns

2014 ◽  
Vol 21 ◽  
pp. 25-49 ◽  
Author(s):  
Sirio Aramonte
Keyword(s):  
Cross Section ◽  
Option Returns ◽  
Macroeconomic Uncertainty ◽  
The Cross
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