Dark Matter in (Volatility and) Equity Option Risk Premiums
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Publication:5060490
DOI10.1287/OPRE.2022.2360OpenAlexW4294956058MaRDI QIDQ5060490FDOQ5060490
Authors: Gurdip Bakshi, John Crosby, Xiaohui Gao 
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
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dark matteroption risk premiumsunspanned equity volatility and jump risksunspanned risks in the pricing kernel
Cites Work
- A jump-diffusion model for option pricing
- A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix
- Modeling and Forecasting Realized Volatility
- Transform Analysis and Asset Pricing for Affine Jump-diffusions
- Option pricing when underlying stock returns are discontinuous
- Post-'87 crash fears in the S\&P 500 futures option market
- Volatility jumps
- The term structure of equity and variance risk premia
- Macro-finance decoupling: robust evaluations of macro asset pricing models
Cited In (4)
- Pricing swaptions and zero-coupon futures options under the discrete-time arbitrage-free Nelson-Siegel model
- Martingale defects in the volatility surface and bubble conditions in the underlying
- Pricing levered warrants under the CEV diffusion model
- Ergodic estimators of double exponential Ornstein-Uhlenbeck processes
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