Victoria University

Browsing School of Economics and Finance · Te Kura Ohaoha Pūtea: Working Paper Series by Subject "Maturity options"

ResearchArchive/Manakin Repository

Browsing School of Economics and Finance · Te Kura Ohaoha Pūtea: Working Paper Series by Subject "Maturity options"

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  • Guo, Biao; Han, Qian; Lin, Hai (Victoria University of Wellington, 2015)
    Neumann and Skiadopoulos (2013) document that although the implied volatilities are predictable, their economic pro ts become insignificant once the cost is accounted for. We show that the trading strategies based on the ...

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