Volatility risk premiums embedded in individual equity options: Some new insights

Journal of Derivatives

Volumn 11, Issue 1, 2003, Pages 45-54

  Bakshi, Gurdip ^a   Kapadia, Nikunj ^b  

^a UNIVERSITY OF MARYLAND   (United States)

^b UNIVERSITY OF MASSACHUSETTS   (United States)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 33745293117     PISSN: 10741240     EISSN: None     Source Type: Journal    
DOI: 10.3905/jod.2003.319210     Document Type: Article

References (10)

1. Bakshi, G., C. Cao, and Z. Chen. "Empirical Performance of Alternative Option Pricing Models." Journal of Finance, 52(1997), pp. 2003-2049.
2. Bakshi, G., and N. Kapadia. "Delta-Hedged Gains and the Negative Volatility Risk Premium." Review of Financial Studies, 16(2) (2003), pp. 527-566.
3. Bakshi, G., N. Kapadia, and D. Madan. "Stock Return Characteristics, Skew Laws, and the Differential Pricing of Individual Equity Options." Review of Financial Studies, 16(1) (2003), pp. 101-143.
4. Bates, D. "Post-87 Crash Fears in S&P 500 Futures Options." Journal of Econometrics, 94(2000), pp. 181-238.
5. Buraschi, A., and J. Jackwerth. "The Price of a Smile: Hedging and Spanning in Option Markets." Review of Financial Studies, 14(2) (2001), pp. 495-527.
6. French, K., W. Schwert, and R. Stambaugh. "Expected Stock Returns and Volatility." Journal of Financial Economics, 19(1987), pp. 3-29.
7. Heston, S. "A Closed Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options." Review of Financial Studies, 6(2) (1993), pp. 327-343.
8. Jackwerth, J., and M. Rubinstein. "Recovering Probability Distributions from Option Prices." Journal of Finance, 51(1996), pp. 1611-1631.
9. Merton, R. "Option Pricing When Underlying Stock Returns are Discontinuous." Journal of Financial Economics, 3(1976), pp. 125-144.
10. Pan, J. "The Jump-Risk Premia Implicit in Options: Evidence from an Integrated Time-Series Study." Journal of Financial Economics, 63(2002), pp. 3-50.