Stock Return Characteristics, Skew Laws, and the Differential Pricing of Individual Equity Options

By Gurdip Bakshi, Nikunj Kapadia, Dilip B Madan 5. 2001

311 citations recorded by the source corpus.

Subfields: Finance

View Paper: https://www.semanticscholar.org/paper/59cb652062a52ae6909a4076b22dbe34041c30db

Citations in the corpus

• Jump Starting GARCH: Pricing and Hedging Options With Jumps in Returns and Volatilities (2006, unknown): “For example, both Bates (2000) and Pan (2002) examine such models, and are unable to remove systematic option pricing biases that remain.1 While jumps in the return process can explain large daily shocks, these return shocks are transient and have no lasting effect on future returns. At the same tim”
• The Skew Risk Premium in the Equity Index Market (2013, unknown): “Theorem 2 of Bakshi et al. (2003) has an explicit expression for the skew risk premium in terms of the kurtosis of returns, so we include as a candidate instrumental variable where kurt centt is the implied excess kurtosis defined in Equation (6) of Bakshi et al. (2003).”
• Tail Risk and Asset Prices (2014, unknown): “Examples of the option-based approach include Bakshi, Kapadia, and Madan (2003), who study risk-neutral skewness and kurtosis, Bollerslev, Tauchen, and Zhou (2009), who examine how the variance risk premium relates to the equity premium, and Backus, Chernov, and Martin (2011) and Gao and Song…”
• What Is the Expected Return on a Stock? (2019, unknown): “They work with the risk-neutral variance of log returns (following Bakshi, Kapadia, and Madan (2003)), so their volatility indices load particularly strongly on the prices of deep out-of-the-money put options.”
• Understanding the Role of Recovery in Default Risk Models: Empirical Comparisons and Implied Recovery Rates (2001, unknown): “moment connections and ways to generalize to a broader family of marginal utilities, the reader is referred to Bakshi, Kapadia, and Madan (2003) .”
• The Time Variation in Risk Appetite and Uncertainty (2019, unknown): “…the options literature, a number of articles (Ait-Sahalia and Lo 2000, Britten-Jones and Neuberger 2000, Jackwerth 2000, Rosenberg and Engle 2002, Bakshi et al. 2003, Bliss and Panigirtzoglou 2004, Bakshi and Wu 2010, Faccini et al. 2019) appear at fi rst glance to infer risk aversion from equity…”
• Downside Variance Risk Premium (2015, unknown): “Similarly, based on pioneering studies such as Carr and Madan (1998, 1999, 2001) and Bakshi, Kapadia, and Madan (2003), we have a clear view on how to construct risk-neutral measures of volatility.”
• Low‐Risk Anomalies? (2020, unknown): “Early tests of the CAPM coming to this conclusion include Black (1972), Black et al.”