-of-the-money index options well. In a dynamic setting, probability weighting and time-varying equity return volatility combine to match …

returns on both out-of-the-money (OTM) put and OTM call options. Since the variance premium can be written as the expected … return on a portfolio of OTM call and put options, the CPT model also fits the high observed variance premium. In a dynamic …

-of-the-money index options well. In a dynamic setting, probability weighting and time-varying equity return volatility combine to match …

We propose a model-free method for measuring the jump skewness risk premium via a tradingstrategy. We find that in the … increase in periods of market distress. The daytime return on jump skewness isnot spanned by other systematic risk factors …, suggesting it is a systematic risk factor itself. Outsideof trading hours, skewness risk does not seem to be distinguishable from …