Vadim di Pietro

Northwestern University - Kellogg School of Management

2001 Sheridan Road

Evanston, IL 60208

United States

SCHOLARLY PAPERS

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978

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3

Scholarly Papers (1)

1.

Systematic Variance Risk and Firm Characteristics in the Equity Options Market

Number of pages: 52 Posted: 10 Oct 2007
Vadim di Pietro and Gregory Vainberg
Northwestern University - Kellogg School of Management and McGill University - Desautels Faculty of Management
Downloads 978 (33,250)
Citation 4

Abstract:

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Equity Options, Model Free Implied Volatility, Variance Risk, Size Effect, Book-to-Market Effect