Dark Matter in (Volatility and) Equity Option Risk Premiums
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Publication:5060490
Recommendations
- Equilibrium asset and option pricing under jump diffusion
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Cites work
- A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix
- A jump-diffusion model for option pricing
- Macro-finance decoupling: robust evaluations of macro asset pricing models
- Modeling and Forecasting Realized Volatility
- Option pricing when underlying stock returns are discontinuous
- Post-'87 crash fears in the S\&P 500 futures option market
- The term structure of equity and variance risk premia
- Transform Analysis and Asset Pricing for Affine Jump-diffusions
- Volatility jumps
Cited in
(4)- Ergodic estimators of double exponential Ornstein-Uhlenbeck processes
- 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
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