Index options realized returns distributions from passive investment strategies
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References listed on IDEAS
- Rubinstein, Mark, 1984. " A Simple Formula for the Expected Rate of Return of an Option over a Finite Holding Period," Journal of Finance, American Finance Association, vol. 39(5), pages 1503-1509, December.
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KeywordsEx post returns; distribution; realized returns; option pricing;
- C1 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General
- C3 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables
- N2 - Economic History - - Financial Markets and Institutions
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2015-12-08 (All new papers)
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