Extant empirical evidence on volatility risk premium in emerging markets is limited to the market level index options. This study extends of understanding of volatility risk premium in single stock options in the Indian market. The study finds that volatility risk is priced systematically among...

We empirically examine whether investors demand a systemic component of Volatility Risk (VRP-beta) using the stock options traded on National Stock Exchange, India. We document robust evidence on the presence of VRP-beta, which survives even after accounting for the traditional Fama-French...