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Is Jump Risk Priced? What We Can (and Cannot) Learn From Option Hedging Errors
Branger, Nicole; Schlag, Christian - 2004
When options are traded, one can use their prices and price changes to draw inference about the set of risk factors and … option hedging errors. We derive a closed-form solution for the option hedging error and its expecta- tion in a stochastic …, the expected hedging error cannot identify the exact structure of the compensation for jump risk. Furthermore, we derive …
Persistent link: https://www.econbiz.de/10010316083
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An Economic Motivation for Variance Contracts
Branger, Nicole; Schlag, Christian - Universität <Münster, Westfalen> / Lehrstuhl für … - 2005
additionalstandard options. …
Persistent link: https://www.econbiz.de/10005867623
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Model Risk: A Conceptual Framework for RiskMeasurement and Hedging
Branger, Nicole; Schlag, Christian - Universität <Münster, Westfalen> / Lehrstuhl für … - 2004
The vast majority of approaches to risk management, hedging, or portfolio planningassume that some model is given … much too complicated to solve in realisticmodel setups, we furthermore discuss robust hedging strategies determined …
Persistent link: https://www.econbiz.de/10005867667
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Volatility-of-volatility risk
Huang, Darien; Schlag, Christian; Shaliastovich, Ivan; … - 2018
We show that time-varying volatility of volatility is a significant risk factor which affects the cross-section and the time-series of index and VIX option returns, beyond volatility risk itself. Volatility and volatility-of-volatility measures, identified modelfree from the option price data as...
Persistent link: https://www.econbiz.de/10011849232
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Volatility-of-Volatility Risk
Huang, Darien - 2018
-of-volatility measures, identified model-free from options data as the VIX and VVIX indices, respectively, are only weakly related to each …
Persistent link: https://www.econbiz.de/10012937769
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Volatility-of-Volatility Risk
Schlag, Christian - 2020
We show that time-varying volatility of volatility is a significant risk factor which affects the cross-section and the time-series of index and VIX option returns, beyond volatility risk itself. Volatility and volatility-of-volatility measures, identified model-free from the option price data...
Persistent link: https://www.econbiz.de/10012852246
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Commodities, financialization, and heterogeneous agents
Branger, Nicole; Grüning, Patrick; Schlag, Christian - 2016
The term 'financialization' describes the phenomenon that commodity contracts are traded for purely financial reasons and not for motives rooted in the real economy. Recently, financialization has been made responsible for causing adverse welfare effects especially for low-income and low-wealth...
Persistent link: https://www.econbiz.de/10011539953
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Can Tests Based on Option Hedging Errors Correctly Identify Volatility Risk Premia?
Branger, Nicole; Schlag, Christian - 2004
Tests for the existence and the sign of the volatility risk premium are often based on expected option hedging errors … the premium is the same as the sign of the mean hedging error for a large class of stochastic volatility option pricing …
Persistent link: https://www.econbiz.de/10010263305
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Why is the index smile so steep?
Schlag, Christian; Branger, Nicole - Money Macro and Finance Research Group - 2004
Persistent link: https://www.econbiz.de/10004977128
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Can Tests Based on Option Hedging Errors Correctly Identify Volatility Risk Premia?
Branger, Nicole; Schlag, Christian - Fachbereich Wirtschaftswissenschaft, Goethe … - 2008
Tests for the existence and the sign of the volatility risk premium are often based on expected option hedging errors … the premium is the same as the sign of the mean hedging error for a large class of stochastic volatility option pricing …
Persistent link: https://www.econbiz.de/10005102178