WebJSTOR Home WebEquity portfolio managers who use equity options to hedge large downside moves in individual stocks need to know their overall market exposure. Dispersion traders who sell (expensive) index options and buy (cheaper) equity options to hedge need to understand the market exposure of individual equity options. See for example, Driessen,

The Factor Structure in Equity Option Prices - New York University

WebCharacteristics and expected returns in individual equity options Mustafa Karakaya Published 2014 Economics I study excess returns from selling individual equity options that are leverage-adjusted and delta-hedged. I find that options with longer maturities have higher risk yet lower average returns. Web27 feb. 2024 · Abstract. This paper examines the empirical literature on individual equity options, discussing results in areas of consensus, showing findings in areas of … hourly weather bedford pa

Startup Stock Options: A Simple Guide Pulley

WebIndividual Equity Options on index, as opposed to individual equity, options. From a general asset pric- ing perspective, it is unsettling that we do not yet understand the properties of individual equity risk-neutral return distributions or the structure of their option prices. Our study makes several theoretical contributions. Web1 mrt. 2024 · In an analysis of single-name equity options Horenstein, Vasquez and Xiao (2024) use an asymptotic principal components approach and find strong evidence for a factor structure in equity option returns that is partly related to individual firm characteristics and partly to aggregate stock market risk. 6 Web8 mrt. 2024 · Echelon is a Canadian mid-sized wealth management and capital markets firm, known for a client-centred approach and high-trust … links within pdf not working