A Factor Model For Option Returns
收藏NBER2021-10-01 更新2025-01-04 收录
下载链接：
https://www.nber.org/papers/w29369
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资源简介：
Due to their short lifespans and migrating moneyness, options are notoriously difficult to study with the factor models commonly used to analyze the risk-return trade-off in other asset classes. Instrumented principal components analysis solves this problem by tracking contracts in terms of their
提供机构：
美国国家经济研究局
创建时间：
2021-10-01
