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Keywords: S&P 500 Index Options
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Journal Articles
Journal of Derivatives and Quantitative Studies: Seonmul yeon’gu (2012) 20 (2): 133–164.
Published: 31 May 2012
...Sun-Joong Yoon; So Hyun Kang This paper conducts a factor analysis using the implied variances of S&P 500 index options and KOSPI 200 index options. After estimating the factors that influence variance risks, we rotate the factors to decompose them into a common factor and local factors...
