| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 5057678 | Economics Letters | 2017 | 12 Pages |
Abstract
We show analytically that the relationship between asset volatility and expected option return is ambiguous. Numerical results elaborate how the direction and magnitude of the relationship depend on asset beta and volatility levels, and option moneyness and maturity.
Keywords
Related Topics
Social Sciences and Humanities
Economics, Econometrics and Finance
Economics and Econometrics
Authors
Mo Chaudhury,