Table 1 Premia for lower shave and upper add-on
From: Measure distorted arrival rate risks and their rewards
Asset | α | β |
|---|---|---|
JPM | 3.3013 | −3.2174 |
XLF | −3.9919 | 3.9366 |
SPX | −2.5735 | 2.7636 |
JPM/XLF | −0.7864 | 0.6773 |
XLF/SPX | −0.5514 | 0.4355 |
From: Measure distorted arrival rate risks and their rewards
Asset | α | β |
|---|---|---|
JPM | 3.3013 | −3.2174 |
XLF | −3.9919 | 3.9366 |
SPX | −2.5735 | 2.7636 |
JPM/XLF | −0.7864 | 0.6773 |
XLF/SPX | −0.5514 | 0.4355 |