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Keywords: Delta-Hedged Gains
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Journal Articles
Journal of Derivatives and Quantitative Studies: Seonmul yeon’gu (2009) 17 (2): 67–86.
Published: 31 May 2009
... the existence of the negative volatility risk premium in the S&P 500 index options as well as derived theoretical positive relationship between the volatility risk premium and delta-hedging gains. However, in the results of this study, contrary to those in the S&P 500 index options market, we do...
