| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 5089120 | Journal of Banking & Finance | 2013 | 19 Pages |
Abstract
⺠Explain international equity index option returns with jump and volatility factors. ⺠We find strong evidence for local pricing of jump and volatility risk. ⺠We find much less evidence for global pricing of these factors. ⺠The US and UK option markets have become increasingly interrelated. ⺠There are substantial benefits to internationally diversifying option investments.
Related Topics
Social Sciences and Humanities
Economics, Econometrics and Finance
Economics and Econometrics
Authors
Joost Driessen, Pascal Maenhout,