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dc.contributor.authorBranger, Nicoleen_US
dc.contributor.authorSchlag, Christianen_US
dc.date.accessioned2009-01-29T16:05:20Z-
dc.date.available2009-01-29T16:05:20Z-
dc.date.issued2004en_US
dc.identifier.urihttp://hdl.handle.net/10419/23401-
dc.description.abstractTests for the existence and the sign of the volatility risk premium are often based on expected option hedging errors. When the hedge is performed under the ideal conditions of continuous trading and correct model specification, the sign of the premium is the same as the sign of the mean hedging error for a large class of stochastic volatility option pricing models. We show, however, that the problems of discrete trading and model mis-specification, which are necessarily present in any empirical study, may cause the standard test to yield unreliable results.en_US
dc.language.isoengen_US
dc.publisheren_US
dc.relation.ispartofseriesWorking paper series / Johann-Wolfgang-Goethe-Universität Frankfurt am Main, Fachbereich Wirtschaftswissenschaften : Finance & Accounting 136en_US
dc.subject.jelG12en_US
dc.subject.jelG13en_US
dc.subject.ddc330en_US
dc.subject.keywordStochastic Volatilityen_US
dc.subject.keywordVolatility Risk Premiumen_US
dc.subject.keywordDiscretization Erroren_US
dc.subject.keywordModel Erroren_US
dc.subject.stwVolatilitäten_US
dc.subject.stwRisikoprämieen_US
dc.subject.stwStatistischer Testen_US
dc.subject.stwOptionspreistheorieen_US
dc.subject.stwStochastischer Prozessen_US
dc.subject.stwTheorieen_US
dc.titleCan Tests Based on Option Hedging Errors Correctly Identify Volatility Risk Premia?en_US
dc.typeWorking Paperen_US
dc.identifier.ppn476816157en_US
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungen-
Appears in Collections:Working Paper Series: Finance and Accounting, Universität Frankfurt a. M.

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