Index option returns and generalized entropy bounds
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DOI: 10.1016/j.jfineco.2020.08.011
Abstract: Abstract I develop a new spectrum of moment bounds on the pricing kernel. They stem from the solution of an optimization problem that is complementary to Hansen and Jagannathan (1991) approach. Economically, they measure the… read more here.
Keywords: option; option returns; index option; generalized entropy ... See more keywords