Abstract
ABSTRACT Using Chinese option market data, we construct a delta-neutral strategy for Shanghai Stock Exchange (SSE) 50ETF options and investigate the statistical properties of the strategy gains. The empirical results show that the delta-hedged gains are significantly negative, indicating that to hedge the volatility risk, the option buyer needs to pay a volatility risk premium to the option seller.
Full Text 
Sign-in/Register to access full text options
Sign-in/Register to access full text options 
Published version (
Free)
Free) 
Talk to us
Join us for a 30 min session where you can share your feedback and ask us any queries you have
Schedule a call
