Empirical patterns of time value decay in options

Purpose The purpose of this paper is to conduct an empirical analysis of the pattern of time value decay in listed equity options, considering both call and put options and different moneyness and maturity levels. Design/methodology/approach The research design is empirical, with great attention pai...

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Veröffentlicht in:	China finance review international 2017-10, Vol.7 (4), p.429-449
1. Verfasser:	McKeon, Ryan
Format:	Artikel
Sprache:	eng
Schlagworte:	Options trading Profits Put & call options Securities prices Simulation Volatility
Online-Zugang:	Volltext
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