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The Relationship between Delta-Hedged Gains and the Risk-Neutral Moments
Dahea Kim(김다혜),Sol Kim(김솔) 한국경영과학회 2016 한국경영과학회 학술대회논문집 Vol.2016 No.10
We investigate the well-documented underperformance of delta-hedged option portfolios in relation to ex ante moments of the stock market’s return distribution. Using a sample of S&P 500 index options, we find that delta-hedged option gains decrease with ex ante volatility, in support of negative volatility risk premium. Moreover, the delta-hedged gains are negatively associated with skewness and kurtosis among call options, but positively associated with the higher moments among put options. These results suggest that investors pay premium for call options in anticipation of a positive jump, while they pay premium for put options in anticipation of a negative jump.