登入選單

返回Google圖書搜尋

Volatility Aversion in the Options Market Based on News Sentiment

Matthias Uhl

出版	SSRN, 2019
URL	http://books.google.com.hk/books?id=bEv6zgEACAAJ&hl=&source=gbs_api

註釋

The author identifies and explains asymmetric reactions in implied volatility of S&P 500 Index options across the term structure based on news sentiment. The asymmetry of the reaction is more pronounced for fear (proxied by put options) than for greed (proxied by call options). This asymmetry is termed factor volatility aversion, which is more pronounced the shorter the time to maturity of the option.