Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/23401 
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dc.contributor.authorBranger, Nicoleen
dc.contributor.authorSchlag, Christianen
dc.date.accessioned2009-01-29T16:05:20Z-
dc.date.available2009-01-29T16:05:20Z-
dc.date.issued2004-
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
dc.language.isoengen
dc.publisher|aJohann Wolfgang Goethe-Universität Frankfurt am Main, Fachbereich Wirtschaftswissenschaften |cFrankfurt a. M.en
dc.relation.ispartofseries|aWorking Paper Series: Finance & Accounting |x136en
dc.subject.jelG12en
dc.subject.jelG13en
dc.subject.ddc330en
dc.subject.keywordStochastic Volatilityen
dc.subject.keywordVolatility Risk Premiumen
dc.subject.keywordDiscretization Erroren
dc.subject.keywordModel Erroren
dc.subject.stwVolatilitäten
dc.subject.stwRisikoprämieen
dc.subject.stwStatistischer Testen
dc.subject.stwOptionspreistheorieen
dc.subject.stwStochastischer Prozessen
dc.subject.stwTheorieen
dc.titleCan Tests Based on Option Hedging Errors Correctly Identify Volatility Risk Premia?-
dc.typeWorking Paperen
dc.identifier.ppn476816157en
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen

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