Volatility and jump risk in option returns

C-Tier

Journal: Journal of Futures Markets

Year: 2020

Volume: 40

Issue: 11

Pages: 1767-1792

Authors (2)

Biao Guo (not in RePEc) Hai Lin (Victoria University of Welling...)

Score contribution per author:

0.505 = (α=2.02 / 2 authors) × 0.5x C-tier

α: calibrated so average coauthorship-adjusted count equals average raw count