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Determinants of S&P 500 index option returns
Charles Cao
,
Jing Zhi Huang
Finance
Research output
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Contribution to journal
›
Article
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peer-review
17
Scopus citations
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Keyphrases
Option Returns
100%
S&P 500 Index Options
100%
Underlying Asset
66%
Diffusion Model
33%
Mean-variance Spanning
33%
Option Pricing Model
33%
Spanning Tests
33%
Out-of-the-money Options
33%
Economics, Econometrics and Finance
Pricing
100%