Lei Lian

University of Massachusetts Amherst - Isenberg School of Management

Amherst, MA 01003-4910

United States

SCHOLARLY PAPERS

2

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18

SSRN CITATIONS

0

CROSSREF CITATIONS

1

Scholarly Papers (2)

The Supply and Demand of S&P 500 Put Options

NBER Working Paper No. w21161
Number of pages: 56 Posted: 11 May 2015 Last Revised: 18 May 2015
University of Chicago - Booth School of Business and University of Massachusetts Amherst - Isenberg School of Management
Downloads 18 (595,447)

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The Supply and Demand of S&P 500 Put Options

Fama-Miller Working Paper, Chicago Booth Research Paper No. 15-38
Posted: 19 Aug 2015 Last Revised: 28 Dec 2015
University of Chicago - Booth School of Business and University of Massachusetts Amherst - Isenberg School of Management

Abstract:

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S&P 500 options; option supply; option demand; market maker credit constraints; Value-at-Risk; implied volatility skew; net buy; disaster risk; variance risk

2.

Firm Characteristics and Common Factors in the Variance Risk Premia

Posted: 25 Aug 2015 Last Revised: 28 Dec 2015
Lei Lian
University of Massachusetts Amherst - Isenberg School of Management

Abstract:

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Variance Risk Premium (VRP), Common Factors in Stock VRPs