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The incremental information content of innovations in implied idiosyncratic volatility
Moll, Cliff R.; Huffman, Stephen P. - In: Review of financial economics : RFE 30 (2016), pp. 33-44
Persistent link: https://www.econbiz.de/10011579946
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Derivatives pricing and term structure modeling
Hinnerich, Mia - 2007
Persistent link: https://www.econbiz.de/10003649920
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CDS Returns
Augustin, Patrick; Saleh, Fahad; Xu, Haohua - In: Journal of economic dynamics & control 118 (2020), pp. 1-27
Persistent link: https://www.econbiz.de/10012503412
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Moment risk premiums in option markets : on measurement, structure, and investment implications
Dörries, Julian - 2021
Rationale Anleger sind im Allgemeinen risikoavers. Eine wichtige Implikation dieser Risikoaversion ist, dass Anleger für bestimmte Risiken, die sie eingehen, eine Kompensation verlangen – Risikoprämien. Ein Beispiel für solche Risikoprämien sind Momentenrisikoprämien. Sie sind definiert...
Persistent link: https://www.econbiz.de/10012816290
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Relative pricing and risk premia in equity volatility markets
Van Tassel, Peter - 2018
, and products, including variance swaps, straddles, and VIX futures. In addition, the paper derives a closed …-form relationship between the prices of variance swaps and VIX futures. While tightly linked, VIX futures exhibit deviations of varying … and their relationship to VIX futures' return predictability. …
Persistent link: https://www.econbiz.de/10011904683
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The benefits of option use by mutual funds
Natter, Markus; Rohleder, Martin; Schulte, Dominik; … - In: Journal of financial intermediation 26 (2016), pp. 142-168
Persistent link: https://www.econbiz.de/10011715139
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Negative correlation between stock and futures returns : an unexploited hedging opportunity?
Basu, Parantap; Gavin, William T. - In: Bulletin of economic research 69 (2017) 3, pp. 209-215
Persistent link: https://www.econbiz.de/10011743228
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The option to stock volume ratio and future returns
Johnson, Travis L.; So, Eric - In: Journal of financial economics 106 (2012) 2, pp. 262-286
Persistent link: https://www.econbiz.de/10009666658
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Jump, diffusion, and long-term volatility risks with incremental information in VIX assets
Chen, Sonnan; Gu, Yuchi - In: The journal of derivatives : JOD 28 (2021) 3, pp. 60-96
Persistent link: https://www.econbiz.de/10012486031
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Option spread trades : returns on directional and volatility trades
McKeon, Ryan - In: The journal of asset management 17 (2016) 6, pp. 422-433
Persistent link: https://www.econbiz.de/10011666251