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Does the pricing kernel anomaly reflect forward looking beliefs?

Sala, Carlo - 2015

precision parameter of the DP process is calibrated to the amount of trading activity in deep-out-of-the-money options. We use …

Persistent link: https://www.econbiz.de/10011506354

Relative pricing and risk premia in equity volatility markets

Van Tassel, Peter - 2018

This paper provides empirical evidence that volatility markets are integrated through the time-varying term structure of variance risk premia. These risk premia predict the returns from selling volatility for different horizons, maturities, and products, including variance swaps, straddles, and...

Persistent link: https://www.econbiz.de/10011904683

Financial markets with volatility uncertainty

Vorbrink, Jörg - 2010

We investigate financial markets under model risk caused by uncertain volatilities. For this purpose we consider a financial market that features volatility uncertainty. To have a mathematical consistent framework we use the notion of G-expectation and its corresponding G-Brownian motion...

Persistent link: https://www.econbiz.de/10008746123

The forecasting performance of German stock option densities

Craig, Ben R.; Glatzer, Ernst; Keller, Joachim; … - 2003

In this paper we will be estimating risk-neutral densities (RND) for the largest euro area stock market (the index of which is the German DAX), reporting their statistical properties, and evaluating their forecasting performance. We have applied an innovative test procedure to a new, rich, and...

Persistent link: https://www.econbiz.de/10011432259

How do insiders trade?

Augustin, Patrick; Brenner, Menachem; Grass, Gunnar; … - 2016

We characterize how informed investors trade in the options market ahead of corporate news when they receive private … litigation cases with insiders being more likely to trade in options that offer higher expected returns. Second, pre …-announcement patterns in unusual activity in the options market ahead of significant corporate news are consistent with the predictions of …

Persistent link: https://www.econbiz.de/10011541417

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 estimate a flexible affine model based on a joint time series of underlying indexes and option prices on both markets. An extensive model specification analysis reveals that...

Persistent link: https://www.econbiz.de/10011410916

Pricing of idiosyncratic equity and variance risks

Gourier, Elise - 2016

This paper decomposes the risk premia of individual stocks into contributions from systematic and idiosyncratic risks. I introduce an affine jump-diffusion model, which accounts for both the factor structure of asset returns and that of the variance of idiosyncratic returns. The estimation is...

Persistent link: https://www.econbiz.de/10011410917

The price of the smile and variance risk premia

Gruber, Peter H.; Tebaldi, Claudio; Trojani, Fabio - 2015 - This version: September 8, 2015

In a tractable stochastic volatility model, we identify the price of the smile as the price of the unspanned risks traded in SPX option markets. The price of the smile reflects two persistent volatility and skewness risks, which imply a downward sloping term structure of low-frequency variance...

Persistent link: https://www.econbiz.de/10011412294

Global variance term premia and intermediary risk appetite

Van Tassel, Peter; Vogt, Erik - 2016

Sellers of variance swaps earn time-varying risk premia for their exposure to realized variance, the level of variance swap rates, and the slope of the variance swap curve. To measure risk premia, we estimate a dynamic term structure model that decomposes variance swap rates into expected...

Persistent link: https://www.econbiz.de/10011523781

Variance risk premium components and international stock return predictability

Londono, Juan M.; Xu, Nancy R. - 2019

Persistent link: https://www.econbiz.de/10012004721

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