Measuring Equity Risk with Option-Implied Correlations

By Adrian Buss, Grigory Vilkov. 2012

162 citations recorded by the source corpus.

Subfields: Finance, Strategy and Management

View Paper: https://www.semanticscholar.org/paper/61673abf7a2d0af486a6b48a85f12191fde650b2

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Finance

1. Victor DeMiguel
2. Raman Uppal
3. Grigory Vilkov
4. Yuliya Plyakha
5. Francisco Javier Nogales
6. Michael Wolf
7. Olivier Ledoit
8. Clifford Lam

In Strategy and Management

1. Yuliya Plyakha
2. Raman Uppal
3. Victor DeMiguel
4. Grigory Vilkov

Citations in the corpus

• Improving Portfolio Selection Using Option-Implied Volatility and Skewness (2013, methodology): “In this table, we report the performance of the 1/N portfolio and various minimum-variance portfolios that use risk-premium-corrected option-implied correlation without restricting correlations to be the same across asset pairs, as computed in Buss and Vilkov (2011), while volatilities are estimated”
• What Is the Expected Return on a Stock? (2019, unknown): “Buss and Vilkov (2012) take a similar approach, but estimate correlation from a parametric model that links correlation under the risk-neutral and the objective measure.”