Dark Matter in (Volatility and) Equity Option Risk Premiums

DOI10.1287/opre.2022.2360OpenAlexW4294956058MaRDI QIDQ5060490

Xiaohui Gao, John Crosby, Gurdip Bakshi

Publication date: 10 January 2023

Published in: Operations Research (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2303.16371

zbMATH Keywords

dark matteroption risk premiumsunspanned equity volatility and jump risksunspanned risks in the pricing kernel

Mathematics Subject Classification ID

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

Related Items (2)

Ergodic estimators of double exponential Ornstein-Uhlenbeck processes ⋮ Pricing swaptions and zero-coupon futures options under the discrete-time arbitrage-free Nelson-Siegel model

Cites Work

• A Jump-Diffusion Model for Option Pricing
• Post-'87 crash fears in the S\&P 500 futures option market
• The term structure of equity and variance risk premia
• Volatility Jumps
• A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix
• Transform Analysis and Asset Pricing for Affine Jump-diffusions
• Macro‐Finance Decoupling: Robust Evaluations of Macro Asset Pricing Models
• Option pricing when underlying stock returns are discontinuous
• Modeling and Forecasting Realized Volatility

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