Can Tests Based on Option Hedging Errors Correctly Identify Volatility Risk Premia?
نویسندگان
چکیده
منابع مشابه
Robust Hedging Performance and Volatility Risk in Option Markets
We investigate daily robust hedging performance with trading costs for markets of S&P 500 Index option (SPX) and Taiwan Index option (TXO). Robust hedging refers to minimal model dependence on the risky asset price. Two hedging categories including " model-free " and " volatility-model-free, " and nonparametric methods for volatility estimation are considered in our empirical study. In particul...
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ژورنال
عنوان ژورنال: SSRN Electronic Journal
سال: 2004
ISSN: 1556-5068
DOI: 10.2139/ssrn.493462