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Returns to trading portfolios of FTSE 100 index options
Xiaoquan Liu
Research output
:
Journal Publication
›
Article
›
peer-review
5
Citations (Scopus)
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Keyphrases
Arbitrage Profits
33%
Bid-ask Spread
33%
Call Option
66%
Equity Indices
33%
Financial Times
33%
FTSE 100
100%
Index Options
100%
Moneyness
33%
Negative Skewness
33%
Overpricing
33%
Price Distribution
33%
Put Option
100%
Risk-neutral
33%
Share Index
33%
Short Position
33%
Short Selling
33%
Stock Exchange
33%
Trading Portfolio
100%
Underpricing
33%
Vega
33%
Weekly Returns
33%
Economics, Econometrics and Finance
Arbitrage
20%
Bid-Ask Spread
20%
Option Trading
100%
Skewness
20%
Stock Exchange
20%