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Non-diversifiable volatility risk and risk premiums at earnings announcements

Barth, Mary E.; So, Eric - In: The accounting review : a publication of the American … 89 (2014) 5, pp. 1579-1607

Persistent link: https://www.econbiz.de/10010428728

Quantifying the Variance Risk Premium in VIX Options

Barnea, Amir - 2019

This paper uses synthetically created variance swaps on VIX futures to quantify the variance risk premium in VIX options. The results of this methodology suggest that the average premium is -3.26%, meaning that the realized variance on VIX futures is on average less than the variance implied by...

Persistent link: https://www.econbiz.de/10012905757

Valuing spread options with counterparty risk and jump risk

Li, Zelei; Wang, Xingchun - In: The North American journal of economics and finance : a … 54 (2020), pp. 1-17

Persistent link: https://www.econbiz.de/10012665103

Attention : implied volatility spreads and stock returns

Gao, Xuechen; Wang, Xuewu; Yan, Zhipeng - In: The journal of behavioral finance : a publication of … 21 (2020) 4, pp. 385-398

Persistent link: https://www.econbiz.de/10012312341

Options and higher-order risk premiums

Xiao, Xiao - 2017

Persistent link: https://www.econbiz.de/10011606865

The market price of volatility risk and the dynamics of market and actuarial implied volatilities

Rebonato, Riccardo - In: The journal of derivatives : the official publication … 24 (2017) 4, pp. 21-51

Persistent link: https://www.econbiz.de/10011687425

Does variance risk have two prices? Evidence from the equity and option markets

Barras, Laurent; Malkhozov, Aytek - In: Journal of financial economics 121 (2016) 1, pp. 79-92

Persistent link: https://www.econbiz.de/10011590676

The valuation of power exchange options with counterparty risk and jump risk

Wang, Xingchun; Song, Shiyu; Wang, Yongjin - In: The journal of futures markets 37 (2017) 5, pp. 499-521

Persistent link: https://www.econbiz.de/10011950726

Volatility risk and stock return predictability on global financial crises

Kongsilp, Worawuth; Mateus, Cesario - In: China finance review international 7 (2017) 1, pp. 33-66

Persistent link: https://www.econbiz.de/10011797740

Variance premium and implied volatility in a low-liquidity option market

Astorino, Eduardo Sanchez; Chague, Fernando; … - In: Revista brasileira de economia : RBE ; publicação de … 71 (2017) 1, pp. 3-28

Persistent link: https://www.econbiz.de/10011898770

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