Narrow search
Showing 1 - 10 of 610,223
Cover Image
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
Persistent link: https://www.econbiz.de/10002390132
Cover Image
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
Persistent link: https://www.econbiz.de/10001634368
Cover Image
Delta-hedged gains and the negative market volatility risk premium
Bakshi, Gurdip S.; Kapadia, Nikunj - In: The review of financial studies 16 (2003) 2, pp. 527-566
Persistent link: https://www.econbiz.de/10001764238
Cover Image
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
Cover Image
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/10012906107
Cover Image
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
Persistent link: https://www.econbiz.de/10010207278
Cover Image
Tails, fears and risk premia
Bollerslev, Tim; Todorov, Viktor - 2009
Persistent link: https://www.econbiz.de/10003849565
Cover Image
Tails, fears, and risk premia
Bollerslev, Tim; Todorov, Viktor - 2011
Persistent link: https://www.econbiz.de/10009559410
Cover Image
Skewness risk premium : theory and empirical evidence
Lehnert, Thorsten; Lin, Yuehao; Wolff, Christiaan … - 2013
Persistent link: https://www.econbiz.de/10009723118
Cover Image
Tails, fears, and risk premia
Bollerslev, Tim; Todorov, Viktor - In: The journal of finance : the journal of the American … 66 (2011) 6, pp. 2165-2211
Persistent link: https://www.econbiz.de/10009514108