Key Pages: Home | QwikiWiki | QwikiSyntax | Recent Changes | Page Index | Site Map
Recently Viewed: Home > CDS Pricing > Risk Premium
logo
Risk Premium

•Nicolas P. B. Bollen & Robert E. Whaley, 2004. "Does Net Buying Pressure Affect the Shape of Implied Volatility Functions?," Journal of Finance, American Finance Association, vol. 59(2), pages 711-753.

•Jackwerth, Jens Carsten & Rubinstein, Mark, 1996. " Recovering Probability Distributions from Option Prices,"Journal of Finance, American Finance Association, vol. 51(5), pages 1611-32.

•Bernard Dumas & Jeff Fleming & Robert E. Whaley, 1996. "Implied Volatility Functions: Empirical Tests,"NBER Working Papers 5500, National Bureau of Economic Research, Inc. Also published in The Journal of Finance. Vol 53(6) (1998).

•Gurdip Bakshi & Nikunj Kapadia, 2003."Delta-Hedged Gains and the Negative Market Volatility Risk Premium,"Review of Financial Studies, Oxford University Press for Society for Financial Studies, vol. 16(2), pages 527-566.

•Gurdip Bakshi & Nikunj Kapadia, 2003. "Volatility Risk Premium Embedded in Individual Equity Options: Some New Insights", Journal of Derivatives (Fall issue 2003), 45-54.

•Peter Carr & Liuren Wu, 2004. "Variance Risk Premia," Finance, Economics Working Paper Archive EconWPA.

•A Buraschi & A Jiltsov (2005), Model Uncertainty and Option Markets with Heterogeneous Agents". Journal of Finance (forthcoming).

•Tim Bollerslev & Michael Gibson & Hao Zhou, 2004. "Dynamic estimation of volatility risk premia and investor risk aversion from option-implied and realized volatilities," Finance and Economics Discussion Series 2004-56, Board of Governors of the Federal Reserve System (U.S.).

•Pedro Santa-Clara & Shu Yan, 2004. "Jump and Volatility Risk and Risk Premia: A New Model and Lessons from S&P 500 Options," NBER Working Papers 10912, National Bureau of Economic Research, Inc.

•Nicole Branger & Christian Schlag, 2004. "Is Jump Risk Priced? - What We Can (and Cannot) Learn From Option Hedging Errors," Working Paper Series: Finance and Accounting 140, Department of Finance, Goethe University Frankfurt am Main.

•T. Clifton Green & Stephen Figlewski, 1999. "Market Risk and Model Risk for a Financial Institution Writing Options," Journal of Finance, American Finance Association, vol. 54(4), pages 1465-1499.

•Pan, Jun, 2002. "The jump-risk premia implicit in options: evidence from an integrated time-series study," Journal of Financial Economics, Elsevier, vol. 63(1), pages 3-50, January.

•Dajiang Guo, Overstatement of Implied Variance in the Dollar/Yen Currency Option Market, Bank of Montreal

•Louis H. Ederington, Jae Ha Lee, "The Creation and Resolution of Market Uncertainty: the Impact of Information Releases on Implied Volatility", Journal of Financial and Quantitative Analysis, December 1996.

•Dajiang Guo, "The Risk Premium of Volatility Implicit in Currency Options", Centre Risk Advisors, 1998

Implied Volatility Surfaces
•Dumas B, J Fleming, R E Whaley, 1998. Implied Volatility Functions: Empirical Tests, Journal of Finance, vol 53, pp 2059-2106.

•Silvia Goncalves & Massimo Guidolin, 2005. "Predictable dynamics in the S&P 500 index options implied volatility surface," Working Papers 2005-010, Federal Reserve Bank of St. Louis.

Login | Risk_Premium mailing list
Powered by QwikiWiki 1.5.3- www.qwikiwiki.com