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Inferring volatility dynamics and risk premia from the S&P 500 and VIX markets
Bardgett, Chris; Gourier, Elise; Leippold, Markus - 2016
This paper studies the information content of the S&P 500 and VIX markets on the volatility of the S&P 500 returns. We … risk-neutral distributions as well as the term structure of volatility smiles and of variance risk premia. We find that the …
Persistent link: https://www.econbiz.de/10011410916
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Pricing of idiosyncratic equity and variance risks
Gourier, Elise - 2016
the variance of idiosyncratic returns. The estimation is performed on a time series of returns and option prices from 2006 …
Persistent link: https://www.econbiz.de/10011410917
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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
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Jumps in option prices and their determinants : real-time evidence from the E-mini S&P 500 option market
Kapetanios, George; Neumann, Michael; Skiadopoulos, George - 2014
We study the real-time characteristics and drivers of jumps in option prices. To this end, we employ high frequency data from the 24-hour E-mini S&P 500 options market. We find that option prices do not jump simultaneously across strikes and maturities and are uncorrelated with jumps in the...
Persistent link: https://www.econbiz.de/10010472845
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Positive stock information in out-of-the-money option prices
Gkionis, Konstantinos; Kostakis, Alexandros; … - 2018
We examine whether the option market leads the stock market with respect to positive in addition to negative price discovery. We document that out-of-themoney (OTM) option prices, which determine the Risk-Neutral Skewness (RNS) of the underlying stock return's distribution, can embed positive...
Persistent link: https://www.econbiz.de/10011872403
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The contribution of transaction costs to expected stock returns : a novel measure
Hiraki, Kazuhiro; Skiadopoulos, George - 2023
We document that a theoretically founded, real-time, and easy-to-implement option-based measure, termed synthetic-stock difference (SSD), accurately estimates the part of stock's expected return arising from stock's transaction costs. We calculate SSD for U.S. optionable stocks. SSD can be more...
Persistent link: https://www.econbiz.de/10014231634
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Subdiffusive option price model with inverse Gaussian subordinator
Shchestyuk, Nataliya; Tyshchenkob, Sergii - 2024
The paper focuses on the option price subdiffusive model under the unusual behavior of the market, when the price may not be changed for some time which is quite a common situation in the modern financial markets or during global crises. In the model, the risk-free bond motion and classical GBM...
Persistent link: https://www.econbiz.de/10014464920
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How does the market variance risk premium vary over time? : evidence from S&P 500 variance swap investment returns
Konstantinidi, Eirini; Skiadopoulos, George - 2014
measure VRP which distinguishes the investment horizon from the variance swap's maturity. We extract VRP from actual rather … than synthetic S&P 500 variance swap quotes, thus avoiding biases in VRP measurement. Next, we find that a deterioration of … maturities and investment horizons and they are economically significant. Volatility trading strategies which condition on the …
Persistent link: https://www.econbiz.de/10010472838
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Option Implied Dividends
Kragt, Jac - 2018
This is the first paper to calculate and analyze option-implied dividends for individual US companies, while accounting for the early exercise premium. These firm-level implied dividends show substantial variation relative to actual dividends over time as well as in the cross-section. Implied...
Persistent link: https://www.econbiz.de/10012933833
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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