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Modeling conditional factor risk premia implied by index option returns

Fournier, Mathieu; Jacobs, Kris; Orłowski, Piotr - 2021

Persistent link: https://www.econbiz.de/10013328240

Modelling the MIB30 implied volatility surface : does efficiency matter?

Cassese, Gianluca (contributor); … - 2005

"We analyze the volatility surface vs. moneyness and time to expiration implied by MIBO options written on the MIB30 …, the most important Italian stock index. We specify and fit a number of models of the implied volatility surface and find … that it has a rich and interesting structure that strongly departs from a constant volatility, Black-Scholes benchmark …

Persistent link: https://www.econbiz.de/10002917585

Prediction accuracy of bivariate score-driven risk premium and volatility filters : an illustration for the Dow Jones

Blazsek, Szabolcs; Escribano, Álvaro; Licht, Adrian - 2020

Persistent link: https://www.econbiz.de/10012310604

News shocks and asset price volatility in general equilibrium

Matsumoto, Akito; Cova, Pietro; Pisani, Massimiliano; … - 2011

Persistent link: https://www.econbiz.de/10009533805

The contribution of frictions to expected returns

Hirakiy, Kazuhiro; Skiadopoulos, George - 2018

We derive a model-free option-based formula to estimate the contribution of market frictions to expected returns (CFER) within an asset pricing setting. We estimate CFER for the U.S. optionable stocks. We document that CFER is sizable, it predicts stock returns and it subsumes the effect of...

Persistent link: https://www.econbiz.de/10011932555