haku: @author Shumway, T. / yhteensä: 4
viite: 3 / 4
| Tekijä: | Coval, J. D. Shumway, T. |
| Otsikko: | Expected option returns |
| Lehti: | Journal of Finance
2001 : JUN, VOL. 56:3, p. 983-1009 |
| Asiasana: | Options Return on investment |
| Kieli: | eng |
| Tiivistelmä: | The paper investigates expected option returns in the context of mainstream assetpricing theory. Under mild assumptions, expected call returns exceed those of the underlying security and increase with the strike price. S&P index option returns consistently exhibit thee characteristics. |
SCIMA