Mo Liang

Renmin University of China - School of Finance

Ming De Main Building

Renmin University of China

Beijing, Beijing 100872

China

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What Drives Index Options Exposure?

Number of pages: 37 Posted: 31 Dec 2013 Last Revised: 30 Mar 2014
Timothy C. Johnson, Mo Liang and Yun Liu
University of Illinois at Urbana-Champaign, Renmin University of China - School of Finance and University of Illinois at Urbana-Champaign - Department of Mathematics
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Abstract:

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stock index options; quantities; volatility exposure