Risk premia in option markets

DOI10.1007/S10436-016-0273-9MaRDI QIDQ300692zbMATH OpenOpenAlexFDO

Authors Dilip B. Madan

Publication date 28 June 2016

Published in Annals of Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s10436-016-0273-9

zbMATH Keywords

long horizon returnsself decomposable lawvariance gammavector auto regression

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Derivative securities (option pricing, hedging, etc.) (91G20)

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Cites work

• scientific article; zbMATH DE number 1402217 (Why is no real title available?)
• scientific article; zbMATH DE number 3307201 (Why is no real title available?)
• Option pricing when underlying stock returns are discontinuous
• SELF-DECOMPOSABILITY AND OPTION PRICING
• Self-similar processes with independent increments
• The Variance Gamma Process and Option Pricing

Cited in

(14)

• Inferring the Forward Looking Equity Risk Premium from Derivative Prices
• Implied liquidity risk premia in option markets
• Risk premia and overshooting
• Risk, uncertainty, and option exercise
• Momentum and reversion in risk neutral martingale probabilities
• Recovering the real-world density and liquidity premia from option data
• Extracting expected stock risk premia from option prices and the information contained in non-parametric-out-of-sample stochastic discount factors
• Risk neutral jump arrival rates implied in option prices and their models
• A realized volatility approach to option pricing with continuous and jump variance components
• Measure distorted arrival rate risks and their rewards
• Dark Matter in (Volatility and) Equity Option Risk Premiums
• Hedging insurance books
• Implied price processes anchored in statistical realizations
• Option market making under inventory risk

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