Asymmetric Volatility Risk: Evidence from Option Markets*

DOI10.1093/ROF/RFY025OpenAlexW3123447721MaRDI QIDQ5048044FDOQ5048044

Jens Carsten Jackwerth, Grigory Vilkov

Publication date: 17 November 2022

Published in: Review of Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1093/rof/rfy025

zbMATH Keywords

leverage effectVIX optionsasymmetric volatilityrisk-neutral distributionvolatility trading

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20)

Cited In (2)

• Moneyness, Underlying Asset Volatility, and the Cross-Section of Option Returns
• Asymmetric information about volatility: how does it affect implied volatility, option prices and market liquidity?

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