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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
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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
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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
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An essay on option prices
Lian, Lei - 2012
Persistent link: https://www.econbiz.de/10011819080
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Jump and volatility risk and risk premia : a new model and lessons from S&P 500 options
Santa-Clara, Pedro; Yan, Shu - 2004
Persistent link: https://www.econbiz.de/10002485074
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Crashes, volatility, and the equity premium : lessons from S&P 500 options
Santa-Clara, Pedro; Yan, Shu - In: The review of economics and statistics 92 (2010) 2, pp. 435-451
Persistent link: https://www.econbiz.de/10008737706
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Volatility and trading demands in stock index futures
Pan, Ming-Shiun; Liu, Y. Angela; Roth, Herbert J. - In: The journal of futures markets 23 (2002) 4, pp. 399-414
Persistent link: https://www.econbiz.de/10001765137
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A nonlinear factor analysis of S&P 500 Index option returns
Jones, Christopher S. - In: The journal of finance : the journal of the American … 61 (2006) 5, pp. 2325-2363
Persistent link: https://www.econbiz.de/10003378710
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Tails, fears and risk premia
Bollerslev, Tim; Todorov, Viktor - 2009
Persistent link: https://www.econbiz.de/10003849565
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Tails, fears, and risk premia
Bollerslev, Tim; Todorov, Viktor - 2011
Persistent link: https://www.econbiz.de/10009559410