Asymmetric volatility risk: evidence from option markets

DOI10.1093/ROF/RFY025OpenAlexW3123447721MaRDI QIDQ5048044FDOQ5048044

Authors: 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

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zbMATH Keywords

leverage effectVIX optionsasymmetric volatilityrisk-neutral distributionvolatility trading

Mathematics Subject Classification ID

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

Cited In (7)

• Implied volatility sentiment: a tale of two tails
• Moneyness, Underlying Asset Volatility, and the Cross-Section of Option Returns
• Dynamic estimation of volatility risk premia and investor risk aversion from option-implied and realized volatilities
• Limited information-processing capacity and asymmetric stock correlations
• Volatility in equilibrium: asymmetries and dynamic dependencies
• Option-implied value-at-risk and the cross-section of stock returns
• Asymmetric information about volatility: how does it affect implied volatility, option prices and market liquidity?

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