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Keywords: Time decay
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Journal Articles
Empirical patterns of time value decay in options
Available to Purchase
Journal:
China Finance Review International
China Finance Review International (2017) 7 (4): 429–449.
Published: 22 September 2017
... period is the key determinant of the pattern of subsequent time decay. The type of option, call or put, and the maturity of the contract have surprisingly little relevance to the pattern of time decay “out-the-money contracts having similar patterns on average, regardless of whether they are calls...
