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Volatility risk premium in Indian options prices
Garg, Sonia; Vipul - In: The journal of futures markets 35 (2015) 9, pp. 795-812
Persistent link: https://www.econbiz.de/10011392659
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Aggregate volatility and market jump risk : an option-based explanation to size and value premia
Arisoy, Yakup Eser - In: The journal of futures markets 34 (2014) 1, pp. 34-55
Persistent link: https://www.econbiz.de/10010254958
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Time variation in the tail behavior of bund future returns
Werner, Thomas; Upper, Christian - In: The journal of futures markets 24 (2004) 4, pp. 387-398
Persistent link: https://www.econbiz.de/10002005386
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Beta and size equity premia following a high-VIX threshold
Bansal, Naresh K.; Connolly, Robert A.; Stivers, … - In: The journal of futures markets 42 (2022) 8, pp. 1491-1517
Persistent link: https://www.econbiz.de/10013287992
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Time-varying jump risk premia in stock index futures returns
Hong, Chan, Wing; Feng, Liling - In: The journal of futures markets 32 (2012) 7, pp. 639-659
Persistent link: https://www.econbiz.de/10010218791
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Corridor volatility risk and expected returns
Dotsis, George; Vlastakis, Nikolaos - In: The journal of futures markets 36 (2016) 5, pp. 488-505
Persistent link: https://www.econbiz.de/10011568446
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A generalization of the recursive integration method for the analytic valuation of American options
Chang, Lung-Fu; Guo, Jia-Hau; Hung, Mao-Wei - In: The journal of futures markets 36 (2016) 9, pp. 887-901
Persistent link: https://www.econbiz.de/10011568657
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Risk-free rates and variance futures prices
Rompolis, Leonidas S. - In: The journal of futures markets 36 (2016) 10, pp. 943-967
Persistent link: https://www.econbiz.de/10011568814
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The valuation of power exchange options with counterparty risk and jump risk
Wang, Xingchun; Song, Shiyu; Wang, Yongjin - In: The journal of futures markets 37 (2017) 5, pp. 499-521
Persistent link: https://www.econbiz.de/10011950726
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Industry variance risk premium, cross-industry correlation, and expected returns
Zhu, Yabei; Luo, Xingguo; Xu, Qi - In: The journal of futures markets 43 (2023) 1, pp. 3-32
Persistent link: https://www.econbiz.de/10013465888