Cross-section of option returns and volatility

Journal of Financial Economics

Volumn 94, Issue 2, 2009, Pages 310-326

  Goyal, Amit ^a   Saretto, Alessio ^b  

^a EMORY UNIVERSITY   (United States)

^b PURDUE UNIVERSITY   (United States)

Author keywords

Historical volatility; Implied volatility; Option returns; Overreaction

Indexed keywords

EID: 70349153003     PISSN: 0304405X     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jfineco.2009.01.001     Document Type: Article

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