Expected Equity Option Returns

Expected Equity Option Returns

Substantial progress has been made in investigating `Overpriced Puts Puzzle' which exists in index futures options. However, scarce studies focus on whether single-stock options also have similar problems. This thesis analyzes the returns of individual stocks' calls, puts, and their portfo...

Full description

Saved in:
Bibliographic Details
Main Author: ZHANG, Xue
Format: text
Language:English
Published: Institutional Knowledge at Singapore Management University 2009
Subjects:
stock options
option portfolios
mispricing
CAPM alphas
risk premiums
Portfolio and Security Analysis
Online Access:https://ink.library.smu.edu.sg/etd_coll/16
https://ink.library.smu.edu.sg/cgi/viewcontent.cgi?article=1015&context=etd_coll
Tags: Add Tag
No Tags, Be the first to tag this record!
Institution: Singapore Management University
Language: English

Internet

https://ink.library.smu.edu.sg/etd_coll/16
https://ink.library.smu.edu.sg/cgi/viewcontent.cgi?article=1015&context=etd_coll

Similar Items