Asset Pricing in Options Markets
The research demonstrates that the frequency of rebalancing deltahedged option returns impacts the magnitude of observed returns, proposing a new adjustment method using lagged hedge ratios.
Featured in No. 90 on 26 Mar 2025 · 2 days after release
- Released
- 24 Mar 2025
- First featured
- No. 90 · 26 Mar 2025
- Published in
- Not yet, as far as Semantic Scholar knows
- Shares when featured
- 2
- Identifier
- SSRN 5192589
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