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|標題:||Negative Market Volatility Risk Premium: Evidence from the LIFFE Equity Index Options||作者:||Lin, B.H.
|關鍵字:||Volatility Risk Premium;Delta Hedge;Gram-Charlier;Skewness;Kurtosis;foreign-currency options;stochastic volatility;price;distributions;variance||Project:||Asia-Pacific Journal of Financial Studies||期刊/報告no：:||Asia-Pacific Journal of Financial Studies, Volume 38, Issue 5, Page(s) 773-800.||摘要:||
We 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.
|Appears in Collections:||管理學院|
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