Please use this identifier to cite or link to this item: http://hdl.handle.net/11455/70833
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dc.contributor.authorLin, B.H.en_US
dc.contributor.author林丙輝zh_TW
dc.contributor.authorChen, Y.J.en_US
dc.date2009zh_TW
dc.date.accessioned2014-06-11T06:00:26Z-
dc.date.available2014-06-11T06:00:26Z-
dc.identifier.issn1226-1165zh_TW
dc.identifier.urihttp://hdl.handle.net/11455/70833-
dc.description.abstractWe provide non-parametric empirical evidence regarding negative volatility risk premium using LIFFE equity index options. In addition, we incorporate the moment-adjusted option delta hedge ratio to mitigate the effect of model misspecification. From the results, we observe several interesting phenomena. First, the delta-hedged gains are negative. Second, with a correction for model misspecification, higher-order moments measures show less significance and the volatility risk premium still plays a key role in affecting delta-hedged gains. All empirical evidence supports the existence of negative volatility risk premium in LIFFE equity index options.en_US
dc.language.isoen_USzh_TW
dc.relationAsia-Pacific Journal of Financial Studiesen_US
dc.relation.ispartofseriesAsia-Pacific Journal of Financial Studies, Volume 38, Issue 5, Page(s) 773-800.en_US
dc.subjectVolatility Risk Premiumen_US
dc.subjectDelta Hedgeen_US
dc.subjectGram-Charlieren_US
dc.subjectSkewnessen_US
dc.subjectKurtosisen_US
dc.subjectforeign-currency optionsen_US
dc.subjectstochastic volatilityen_US
dc.subjectpriceen_US
dc.subjectdistributionsen_US
dc.subjectvarianceen_US
dc.titleNegative Market Volatility Risk Premium: Evidence from the LIFFE Equity Index Optionsen_US
dc.typeJournal Articlezh_TW
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