Identifying Stock Option Mispricing
The study presents a method for identifying mispricing in implied volatility, which is a strong predictor for option returns and is unaffected by changes in liquidity and transaction costs.
Featured in No. 61 on 15 Aug 2024 ·
- Released
- 6 Jun 2023
- First featured
- No. 61 · 15 Aug 2024
- Published in
- Not yet, as far as Semantic Scholar knows
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- 2
- Identifier
- SSRN 4924736
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