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The jump-risk premia implicit in options : evidence from an integrated time-series study

Pan, Jun - In: Journal of financial economics 63 (2002) 1, pp. 3-50

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Why is the index smile so steep?

Branger, Nicole; Schlag, Christian - In: Review of finance : journal of the European Finance … 8 (2004) 1, pp. 109-127

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The skew risk premium in the equity index market

Kozhan, Roman; Neuberger, Anthony; Schneider, Paul - In: The review of financial studies 26 (2013) 9, pp. 2174-2203

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Delta-hedged gains and the negative market volatility risk premium

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The Skew Risk Premium in the Equity Index Market

Kozhan, Roman - 2019

skew swaps be used to explore the relationship between the skew in implied volatility and realized skew. Like the variance … almost half of the implied volatility skew can be explained by the skew risk premium. We provide evidence that skew and …

Persistent link: https://www.econbiz.de/10012904441