Bakshi, Gurdip; Londono, Juan M. - 2022
daily option panel of 15 currencies. This analysis reveals that (i) put risk premiums are negative, implying across …-the-board interest in hedging foreign currency depreciations; (ii) call risk premiums are of variable sign and not as pronounced as for … puts; (iii) volatility risk premiums are small or insignificant; and (iv) put (call) risk premiums are more (less) negative …