Risk Premia Across Asset Markets : Information from Option Prices

A measure of risk premium is derived from the comparison of spot and option prices across the US equity and euro dollar markets. Risk premia in both markets co-move with volatility risk. Option prices, however, seem to underreact to changes in return volatility forecasts

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Year of publication:	2013
Authors:	Tarashev, Nikola A.
Other Persons:	Tsatsaronis, Kostas (contributor)
Publisher:	[2013]: [S.l.] : SSRN
Subject:	Risikoprämie \| Risk premium \| Optionspreistheorie \| Option pricing theory \| Finanzmarkt \| Financial market \| Optionsgeschäft \| Option trading

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Extent:	1 Online-Ressource (12 p)
Type of publication:	Book / Working Paper
Language:	English
Notes:	In: BIS Quarterly Review, March 2006 Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments March 1, 2006 erstellt
Classification:	G12 - Asset Pricing ; G13 - Contingent Pricing; Futures Pricing ; G14 - Information and Market Efficiency; Event Studies
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10013094584