Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/23401
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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 basedon expected option hedging errors. When the hedge is performed under the idealconditions of continuous trading and correct model specification, the sign of thepremium is the same as the sign of the mean hedging error for a large class ofstochastic volatility option pricing models. We show, however, that the problems ofdiscrete trading and model mis-specification, which are necessarily present in anyempirical study, may cause the standard test to yield unreliable results.en_US
dc.language.isoengen_US
dc.publisheren_US
dc.relation.ispartofseries|aWorking paper series / Johann-Wolfgang-Goethe-Universität Frankfurt am Main, Fachbereich Wirtschaftswissenschaften : Finance & Accounting |x136en_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-

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