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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
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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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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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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
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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
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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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Volatility and the pricing kernel
Schreindorfer, David; Sichert, Tobias - 2022 - This draft: January 31, 2022
Persistent link: https://www.econbiz.de/10012816005
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Is volatility risk priced in the KOSPI 200 index options market?
Yoon, Sun-joong; Byun, Suk Joon - In: The journal of futures markets 29 (2009) 9, pp. 797-825
Persistent link: https://www.econbiz.de/10003900683
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Is volatility risk priced after all? : some disconfirming evidence
Loudon, Geoffrey F.; Rai, Alan M. - In: Applied financial economics 17 (2007) 4/6, pp. 357-368
Persistent link: https://www.econbiz.de/10003446031
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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