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National Chung Hsing University Institutional Repository - NCHUIR > 管理學院 > 管理學院 > 依資料類型分類 > 期刊論文 >  Negative Market Volatility Risk Premium: Evidence from the LIFFE Equity Index Options

Please use this identifier to cite or link to this item: http://nchuir.lib.nchu.edu.tw/handle/309270000/134950

標題: Negative Market Volatility Risk Premium: Evidence from the LIFFE Equity Index Options
作者: Lin, B.H.;Chen, Y.J.
關鍵字: Volatility Risk Premium;Delta Hedge;Gram-Charlier;Skewness;Kurtosis;foreign-currency options;stochastic volatility;price;distributions;variance
日期: 2009
Issue Date: 2012-12-14 11:29:49 (UTC+8)
關連: 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.
Relation: Asia-Pacific Journal of Financial Studies
Appears in Collections:[依教師分類] 林丙輝
[依資料類型分類] 期刊論文

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