Yun Liu

University of Illinois at Urbana-Champaign - Department of Mathematics

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What Drives Index Options Exposure?

Number of pages: 37 Posted: 31 Dec 2013 Last Revised: 30 Mar 2014
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