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Option Coskewness and Capital Asset Pricing

Joel M. M. Vanden
Year2006
VenueReview of Financial Studies
Typearticle
Citations59
DOI10.1093/rfs/hhj030
OpenAlexW2019729349

Topics

Financial Markets and Investment StrategiesCapital asset pricing modelStochastic discount factorEconomicsValuation of optionsBenchmark (surveying)