The risks and rewards of selling volatility
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References listed on IDEAS
- Harrison, J. Michael & Kreps, David M., 1979. "Martingales and arbitrage in multiperiod securities markets," Journal of Economic Theory, Elsevier, vol. 20(3), pages 381-408, June.
- Saikat Nandi & Daniel F. Waggoner, 2000. "Issues in hedging options positions," Economic Review, Federal Reserve Bank of Atlanta, issue Q1, pages 24-39.
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KeywordsStock market ; Asset pricing ; Risk management;
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