Title:

Optimal Option Portfolio Strategies: Deepening the Puzzle of Index Option Mispricing

Authors:

José Afonso Faias (U Católica Portuguesa) (U Católica Portuguesa)
Pedro Santa Clara (U Nova)

Journal:

Journal Of Financial And Quantitative Analysis

Year:

2017

Volume:

52

Number:

1

Pages:

277-303

JEL codes:

G11 - Portfolio Choice; Investment Decisions
G13 - Contingent Pricing; Futures Pricing