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Volatility and expected option returns: A note
Published: 29 March 2018
Authors: Mo Chaudhury
Publication: Economics Letter, Vol. 152, March 2017
Abstract:
We show analytically that the relationship between asset volatility and expected option return is ambiguous. Numerical results elaborate how the direction and magnitude of the relationship depend on asset beta and volatility levels, and option moneyness and maturity.
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