Option Valuation with Nonmonotonic Pricing Kernel and Embedded Volatility Component Premiums

Journal article

Peer reviewed

Hsuan-Ling Chang, Hung-Wen Cheng, Yi-Ding Lei and 子晧蔡

Journal of Derivatives, Vol.30(4), pp.105-127

01/06/2023

Abstract

Option Valuation;Nonmonotonic Pricing;Premium

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Title: Option Valuation with Nonmonotonic Pricing Kernel and Embedded Volatility Component Premiums
Creators - without role: Hsuan-Ling Chang
Hung-Wen Cheng - Soochow University
Yi-Ding Lei - University of Southampton
子晧蔡
Publication Details: Journal of Derivatives, Vol.30(4), pp.105-127
Identifiers: 9957772803006774
Academic Unit: Department of Quantitative Finance, College of Technology Management, National Tsing Hua University
Language: English
Resource Type: Journal article