Risk premia in option markets
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Publication:300692
DOI10.1007/S10436-016-0273-9zbMATH Open1398.91607OpenAlexW3125245597MaRDI QIDQ300692FDOQ300692
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
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Cites Work
Cited In (14)
- Inferring the Forward Looking Equity Risk Premium from Derivative Prices
- Implied liquidity risk premia in option markets
- Risk premia and overshooting
- Momentum and reversion in risk neutral martingale probabilities
- Risk, uncertainty, and option exercise
- 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
- Dark Matter in (Volatility and) Equity Option Risk Premiums
- Measure distorted arrival rate risks and their rewards
- Hedging insurance books
- Implied price processes anchored in statistical realizations
- Option market making under inventory risk
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