Index options realized returns distributions from passive investment strategies
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References listed on IDEAS
- Rubinstein, Mark, 1984. "A Simple Formula for the Expected Rate of Return of an Option over a Finite Holding Period," Journal of Finance, American Finance Association, vol. 39(5), pages 1503-1509, December.
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Cited by:
- Julián R. Siri & Juan A. Serur & José P. Dapena, 2017. "Testing momentum effectfor the US market: From equity to option strategies," CEMA Working Papers: Serie Documentos de Trabajo. 621, Universidad del CEMA.
- José P. Dapena & Juan A. Serur & Julián R. Siri, 2019. "Risk on-Risk off: A regime switching model for active portfolio management," CEMA Working Papers: Serie Documentos de Trabajo. 706, Universidad del CEMA.
- José P. Dapena & Julian R. Siri, 2017. "Testing excess returns from passive options investment strategies," CEMA Working Papers: Serie Documentos de Trabajo. 605, Universidad del CEMA.
- José P. Dapena & Juan A. Serur & Julián R. Siri, 2018. "Measuring and trading volatility on the US stock market: A regime switching approach," CEMA Working Papers: Serie Documentos de Trabajo. 659, Universidad del CEMA.
- José P. Dapena & Juan A. Serur & Julián R. Siri, 2019. "A model free approach to the pricing of downside risk in argentinean stocks," CEMA Working Papers: Serie Documentos de Trabajo. 703, Universidad del CEMA.
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More about this item
Keywords
Ex post returns; distribution; realized returns; option pricing;All these keywords.
JEL classification:
- C1 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General
- C3 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables
- N2 - Economic History - - Financial Markets and Institutions
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
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